Making Arduino do Two Things at Once?

Is it possible to have a program running in the "foreground" while still having the Arduino fade in/out some LEDs in the background?

Look at the blink without delay example.

Thanks ;)

Link for others: http://www.arduino.cc/en/Tutorial/BlinkWithoutDelay

The blink sketch has a lot to answer for, delay() is next door to useless in the real world as it stops everything happening.