If the leds have a resitor in series with each of them (minimum 220R for red, green and yellow types, 100R for blue) then it should be OK. Without a resistor you would be driving too much current from one pin into another pin. The thing to remember is that any given pin should be sourcing/sinking at most 20ma...
Remember also that the pins can source enough current for one bright led or two dimmish ones, depending on the resitor chosen. So when you are wiring things up, don't ask the Atmega chip to provide enough current to drive more than that. For multiple leds on one pin, use a transistor driver.
(I have to say though, I have seen students do the complete opposite of the advice above, and no one seems to have fried an Arduino yet, the Atmega chip is incredibly robust.)
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