Here I see someone has 28 volt zeners, .5 watt, a hundred pack for $3.50 US
http://cgi.ebay.com/100pcs-1N5255B-28-VOLT-0-5-WATT-ZENER_W0QQitemZ7574878487QQcategoryZ7287QQrdZ1QQ cmdZViewItem
Of course when you add a little resistance, the voltage will go up a bit higher.

Of course, since LED's are so cheap, one could make the same sort of thing with a huge number of leds, the byproduct would be a mixture of light and heat then, and could give an interesting effect to the sculpture in a gust of wind at night.  Simply hook enough LED's in series so that they will not conduct until the voltage reaches a threshold value, and then add a small resistance in series as with the LED string, then parallel many of these strings together so that the current handling ability far exceeds that of the generator.  

For my little 'toy' stepper mill:  http://www.fieldlines.com/story/2005/4/8/31534/30936
I essentially do this, the regulating LED's in that case are the only load up to about 3.9 volts when some zener diodes start conducting.  It would simply take more power than the generator can produce to blow the zeners. yet the led's light up when the blades spin up in the wind.  You will have a voltage drop across the leads from the stepper to the LED's in you system, as the copper wires have some resistance and function exactly as a small value resistor in the circuit.  There's probably too much resistance in the power line from my little stepper to hold down the rpms of the alternator on that one, but if I hooked up  a thicker cable and more strings of LED's in parallel it would to a greater extent although the stepper doesn't do this nearly as well as a dual rotor axial flux alternator does (they stop with a bang and an arc like a welder when you short the leads and become incredibly stiff to turn).  

Since it is a VAWT I'm guessing that overspeeding is generally not a problem even open circuit, so having a relay that opens the circuit to the LED's above a certain voltage, with a coil/resistance circuit that can handle the highest voltage output of the alternator in the worst gale might be an option.  Even two in series in case of a failure in one might not be bad to protect the LEDs.