The "D" in LED stands for diode, which only allows current to pass through in one direction. If you're using alternating current, it doesn't matter how you connect an (meaning one) LED, but if you're using direct current, it will only work one way. If you're using alternating current, and are using multiple LED's, also keep in mind that you have to have the LED's all connected in the same direction if they're in a series circuit (but not if they're in parallel).