Understanding short circuits (in Arduino) and identifying electronic devices
If you are really paranoid about destroying the Arduino, check out the ruggedized version here, which has current limiting and various protections: 

http://ruggedcircuits.com/index.html

However, from a learning standpoint, sometimes it's good to not rely too much on protections built into the circuit; a circuit might only work because of the protection and you might be in for a nasty surprise when you move onto a 'normal' arduino.