Pyroelectro has published tutorial on fading LEDs using CPLD. Making LEDs fade with CPLD or FPGA is a different task than doing this with microcontroller. First of all in CPLD you need to create hardware modules to do tasks that in many cases can perform concurently.
On a simple EMP7128 CPLD board setup there is a 10 LED bar which is programmed to fade special effects. Fading effect is created using PWM signals that are generated using a piece of VHDL code. The project is well explained and might serve as a great entry project for CPLD/FPGA starters.