You can absolutely kill an Arduino or the ATMega328 or a pin or two. Many people have done this. I have heard many more stories of people killing pins than killing a whole 328, though. I've overheated my Arduino's regulator a few times and it has shut itself down which is better than I can say about TLC5940 chips.
If you damage the chip, a replacement is about $5 for the chip itself, with the bootloader included, so it really isn't the end of the world. All hail the DIP package, pop it out, pop a new one in. Couldn't be any easier.
If you never kill a chip you haven't been trying hard enough. Seriously... Everyone kills a few chips.