These are again things to experiment with.
The power to the diode comes from the usb cable. This is what gives power to the how microcontroller. If we remove the USB cable there will be no power and no current flowing. There are no embedded baterries on the controller to keep the diode blinking.
This is a companion discussion topic for the original entry at http://www.fllcasts.com/episodes/314-arduino-basic-course-blinking-diod-implementation-and-demonstration