We study the neutralino to be the lightest Supersymmetric particle (LSP) as a Dark Matter (DM) candidate with a mass 2-40 GeV in the framework of the Next-to-Minimal-Supersymmetric-Standard-Model (NMSSM). We find that with the current collider constrains from the LEP, Tevatron and LHC, there are three types of light DM solutions consistent with the direct/indirect searches as well as the relic abundance considerations: (i) A1/H1-funnel, (ii) stau co-annihilation and (iii) sbottom co-annihilation. Type-(i) may take place in any theory with a light scalar (or pseudo-scalar) near the LSP pair threshold; while Type-(ii) and (iii) could occur in the framework of Miminal Supersymmetric-Standard-Model (MSSM) as well. We present a comprehensive study on the properties of these solutions and point out their immediate relevance in the direct search and indirect search experiments. We then focus on the observational aspects of them at colliders. The decays of the SM-like Higgs boson may be modified appreciably and the new decay channels to the light SUSY particles may be sizable. The new light CP-even and CP-odd Higgs bosons will decay to a pair of LSP as well as other observable states, leading to rich new Higgs phenomenology at colliders. For the light sfermion searches, the signal becomes hard to observe at the LHC when the LSP mass is nearly degenerate with the parent particle. However, a lepton collider would be able to uncover this scenario through pair production and pair production with additional photon.