Put all positive leads to the red wire, and all grounds to the black (wired in parallel).
+1 either your #3 led is bad, or you wired it backwards.
Also, do your LED's require a stepdown resistor? An LED is a diode, and without a load or stepdown, they can draw quit a bit of power, perhaps more than your supply can provide. Normally in a situation like your describe you will see gradual dimming along the chain, but not always.