A little "technical" info for ya.
An LED is a "light emitting diode". Note the diode part - a diode is a device which restricts the flow of electricity to only one direction. This direction is predetermined by the device's manufactured properties. So if you plug an LED in backwards, it will prevent the electric current from flowing through the device at all, and not light up.
Just to contrast, your regular incandessant lightbulb acts like a resistor, in which an electric current can flow in either direction, being resisted in either direction. It will light up in either direction as well.
There... now you know too much.