I have a circuit(fed by 5V source) which receives audio signals and amplifies them and feeds an LED. So the intensity of the LED changes with the voltage.
Ok so far so good. But what i want to do is to replace the LED with a laser diode. I tried and it behaves as LED.
In many websites i came across they are using capacitor and diode when connecting a laser diode. Should i connect a laser diode in a different way than an LED? Why?
Well, to try and answer your question, rather than just complaining about the form of the question
You probably mean a laser diode module rather than a raw laser diode?
If this is true, the it will depend very much on the module, as some will have a built-in constant-current power supply and others won't, so check the datasheet for the module you are thinking of.
If it has the constant current circuit built-in then it will probably be happy with 5V (CHECK THE DATA SHEET) and make sure it does not draw more than the 40mA that an Arduino pin can cope with. I usually test out such modules (especially the cheap ones) with a power supply and multimeter.