see this discussion: http://english.stackexchange.com/questions/10839/legos-not-l...
Although I very much disagree with the upvoted answer which essentially says we're free to invent words and call it english.
1 Company called Lego 1 lego brick or piece 1 lego set 1 lego construction 2 lego bricks or pieces 2 lego sets
To me, it's like 'sheep'. One sheep, flock of sheep - never 'sheeps'.
It's not so much the problem of pluralising the word, but by pluralising it, you're saying that individual piece is a Lego, which makes no sense to me.
EDIT: To prove my point. Take this story: A man walks into an Apple Store. He buys 1 Apple MacBook, 2 Apple iPods and 3 Apple iPads. He takes them home to configure and set up. His wife walks in. Does she say:
a) Oh look, my husband is playing with his new Apple products
b) Oh look, my husband is playing with his new Apples