What color are your LEDs? Different LEDs have Different voltage drops.
If your LEDs red or yellow you may connect them in series with a small resistor (100-200 Ohm). Never connect LED without resistor.
If your LEDS blue or white connect each LED with separate resistor to give it current about 5-10 mA (option 1).
If you need high brightness (15-20 mA) use only option 3.
Atmega 2560 has an absolute limit of 40mA on each pin, and 200mA in total for all pins.
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