Now, what I want to do is tap in at the resistor with my new fancy mega screwshields to have each relay on a separate pin (2xMega with each 32 relays)
I am not good at reading data sheets and I wonder:
a. what happens if I have 32 of theses relays written to HIGH at the same time, will the Mega choke/burn/evaporate/create a black hole?
b. can I do this without a transistor, I really want to avoid having another board with 2x32 transistors. (I am well aware I SHOULD have one per channel).
Just a question, are you using these relays to drive something other than the LEDs we see in that picture?
Yeah, you must be. So, no. Not a chance. You will exceed the current capability of the entire MCU with just 3 or 4 of these on at a time. Like Majenko said, you will need transistors to drive them. You will also need a separate power supply for them capable of delivering about 2 amps.
The relevant piece of the Relay data sheet is under "Coil data" where is says the nominal current for the 5V relay is 33.8mA.
And on the ATmega2560 datasheet under "absolute maximum ratings" where is says the max DC Current Vcc and Gnd Pins is 200mA (if it's going into or out of the IO pins, it pretty much has to be coming out of or into the power pins.)
So you might get away with driving 6 relays at once. Maybe less if your driving the relay and the LED in parallel; I'm not sure where a resistor fits into any relay driving scheme relevant to an AVR microcontroller...