incense oil does.
well anyway, why do leds need current limiting resistors: the led is a semiconductor, a p-n junction. junctions, while they're not in equilibrium (no current) tend to equalise the voltage on their pins, or in more technical terms, they attempt to reach a 0 volt drop, which is equal to 0 resistance.
Now, if you let your power supply give out its full load through a forward biased led, there will be no resistance except the one in the wires (neglilible). So if it can do 5A, your led will let run 5 Amps through it. Multiply by voltage to get power.
Why do they actually burn? Such current causes ohmic heating. The junction materials are less than 1mm^2 in surface. So they arc and weld together, at higher currents than rated.
Of course, you may also use another method to limit current, like pwm (as you did), but computing pulses right, so no single pulse will be over the max specs. Resistors are the cheapest method, though.