I have a background in electronics and an interest in LED's and LED lighting and how semiconductors are made.
you have nothing to worry about IF you can even break an LED.
see my similar comments in this article. also read the comments, 98% of them are very good. the article is basically making a lot of noise.
off-the-shelf Radio-Shack-like LED's:
with these you are basically breaking copper and tin metal and resin, maybe plastic (usually resin). the LED chip is socketed inside a piece of metal that you don't have access to. You need a pair of vise-grips or needle-nosed pliers, inside the crevice (something that can make lots of force). these LED's are tough. these have tinned copper leads.
SMT LED's (surface-mount):
The chip is mounted on the surface of the metal. these are used in cell phones to light up keypads. that resin is pretty tough, and the LED's are so small and chunky and tough, chances are you are not going to break one of these without using a pair of vise grips. these have tinned copper leads.
LED Light Bulbs: T8, A19, Candelabra
chances are greater you will break the glass and that the glass is dangerous, or the voltage on the circuit boards will be dangerous, but hey, I've been zapped by 120V and lived before lots of times, it's just not pleasant...
lead? what lead? nobody uses lead solder anymore as per ROHS requirements, so now we have lead-free solder as of many years ago.
don't mistake the word "leads" (wires that come out of component for connection, pronounced 'leeds') for the word "lead"(Pb, atomic element, noun, pronounced 'led').
the arsenic used in making the chips in LED's is a dopant used in making the silicon chip. sane people don't put it in their mouths, and even if you did, it's embedded in the silicon (glass) so it's inaccessible, and to my knowledge, it is safe.
I have touched bare silicon and went to eat and I am still here. Also, the chip is so small that you can't barely even hold it between your fingers. several of them could fit on the head of a pin, so the amount of arsenic is going to be pretty small considering that the amount used is much less than the size of the total silicon die.
the biggest one I have seen, a 3W LED used in headlamps, is the size of of a pinhead, the same size as the chip I touched. What trouble are you going to get into if you touch glass? and besides, it is smothered in a bubble of resin, you are probably not even going to even have access to the chip directly without some pulverizing!