LED Displays Overloading Mega?

What's the power source?
5V is coming from the 5V header pin?
The regulator is limited to 800mA.
It will be less if it has to regulate higher voltages down.
I don't use the barrel jack when I can - instead I use a 5V wallwart rated for 1 or 2 amps and power things that way. With a Mega, adding a diode from 5V (anode) to Vin (cathode) will prevent backdriving the regulator and damaging it.