It seems from the responses here that, by and large, Europeans call them 'lego', and Americans 'legos'. As for which is right, a quick Google tells me LEGO Group's position is that:
Dear Parents and Children
The word LEGO(R) is a brand name and is very special to all of us in the LEGO Group Companies. We would sincerely like your help in keeping it special. Please always refer to our bricks as 'LEGO Bricks or Toys' and not 'LEGOS.' By doing so, you will be helping to protect and preserve a brand of which we are very proud and that stands for quality the world over. Thank you!
Susan Williams
Consumer Services