Doing some more research and testing, I found out some of the GPIO's default state is High, or On. Here is a link showing the revision
1 and 2 boards default state. Unless you got in early buying a Pi you will have a rev 2. The way to check is to see if it has mounting holes, if it does, it's a rev 2. That's what I have and I found two pins that were actually ON at boot.
One was GPIO14 and the other was another the extra 3.3v power on pin 9. As to the others that were listed as HIGH, they didn't light my LED but I wouldn't risk it.
To be safe use only the green GPIO pins 4,27,22,23,24,25. Looks like GPIO can be used for PWM. I'm going to look into that.