What board are you using:-
Arduino Uno, the diagram next to the pins says pins 11, 10, 9, 6,5, and 3 are pwm pins.
Pin 1 is normally used for serial communications and should be avoided if possible.
Ah, good to know. I'm going to take the LED out of that pin then.
The Arduino can fade any number of LED at the same time. Not using delay(), though. That function absolutely, positively, has to do.
Wait... so why does it work one way but not the other then?