The digital pins of the Arduino can only [source 40mA][1], the 5V rail can source much more than that depending on supply. 

The LED blew up because you did not have a current limiting resistor. See [here][2]. When you attached 5V across the LED it likely tried to pull amps of current and instantly smoked. See this relationship. ![enter image description here][3]

See how if you apply 5V, the current it would try to pull is exponentially higher than 40mA. The LED you used was likely rated for 20mA continuous. *Poof* 

Additionally, if you put a voltmeter across the LED when connected to the digital output, you would not read 5V, likely around 2.2V if you used an LED with a similar curve to the generic one I posted. This is due to the arduino limiting the current to 40mA. 


  [1]: http://arduino.cc/en/Tutorial/DigitalPins
  [2]: https://electronics.stackexchange.com/questions/55823/how-can-i-efficiently-drive-an-led
  [3]: https://i.sstatic.net/el2Wl.png