Can Arduino do multiple things at once?

I have an Arduino Uno and i want to "simulate" a small disco: 4 leds and one piezo buzzer. The buzzer wil play a 8 bit song written by me using the "tone()" commands (is there any better way?" and at the same time i want it to power up some led's (certain ones, not randomly). Is it possible or it can only do one thing at once?