You should always put a resistor between the LED and ground, ALTHOUGH the arduino does not source enough current to fry an LED (I read this on the tutorials from the playground, but I wouldn't do it myself). Sounds to me that you might be using a resistor value that is too high so that the LED can not get enough current through it to light up enough for you to see it. Again, a cheap logic probe or multimeter would save you a lot of time now since you could just check the outputs on the arduino PINS with it and see whats going on.
try a smaller resistor as Grumpy_Mike suggested.
HTH
-Igor