LEDs DO give off heat. One of the reasons they have not quickly come to the market is that to make them brighter, they need a larger current, which produces more heat. If it is high enough, the LED lifetime is cut drastically. Additionally, the electronics needed to drive some LEDs also gives off heat. Do a web search for "LED heatsink" or see this article:
http://en.wikipedia.org/wiki/Thermal_management_of_high-power_LEDs
The solution to this is metal heat sinks to absorb the heat and fins to radiate it. The fins aren't there for style.
Of course, LEDs ARE much more efficient than incandescent and CFLs and as production costs decline, they will be all over the place.
I don’t know about the science of LEDs...but as for touching them, I have hands on experience and the LED did not burn my fingers.