Can we attach LED to VGA port and make it light up, the same way we do in Parallel Port?
This is probably a better pinout

The video and sync signals are 0-1V and not under software control; they're connected to the video hardware output of your card. You might be able to put the card into "power saving" mode and turn them off altogether, but you don't have the fine-grained control that is possible with the parallel port.

There's also a 5V signal, and the I2C signalling used for "EDID" monitor detection (this allows the computer to know which resolutions are acceptable). It might be possible to access that more directly from software, and likewise it might be possible to turn the 5V off by disabling the card or putting it into power saving mode.

Anything that you do discover will depend on the model and drivers for your video card.

Note that, given the ability to toggle a pin at a high enough rate, you can do the reverse: generate video from something that is not a video output.

It's also possible to use the video card to output an RF signal: http://bellard.org/dvbt/