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]


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