An LED acts like a diode, and in the forward bias (when the voltage is applied in the correct direction), the diode will have a small voltage drop.
The voltage drop for LED can be found in Wikipedia.
Notice that diode does not behave like a resistor (does not obey Ohm's law): once a diode is in forward bias, its voltage drop will remain fairly constant for a large range of currents. That is, until the diode melts or overheats due to overcurrent. Other electrical elements may also melt.
If your voltage source is much larger than 0.7V, this will lead to a very large electrical current flowing, and the heat caused by the electrical current will be dissipated along various places in the circuit (because the remaining voltage drop will have to be distributed along the rest of the circuit, which consists of mostly good conductors and therefore has a very low resistance).
To prevent this from happening, please connect a resistor in series with the LED, or use a voltage source that is about the same as the LED's voltage drop.