Is there a risk of legal trouble if you include GPL or LGPL licensed icons in a closed source software?
Would it force it to become open source just to include the icon?
Does it matter if the icon is compiled as a resource?
Are the creative common licensed icons safe to use if you follow the attribution rules specified by the license?
For GPL, yes. Any GPL Code/Content that's compiled into your Application will make it GPL. (Edit: What could be safe is if the Icon is a separate file and is used. That could be a grey area, as you are not using GPL Code to access it. But any attempt to embed it will force your program to GPL, it's one of the most restrictive licenses out there)
LGPL is fine: Any modification to LGPL Content has to be released under LGPL, but using the Code/Content is safe.
Addition: Like LGPL, CreativeCommons usually only affects the Content you're using. So if you're using a CC Icon and modify it, you will have to give out the modified item under CreativeCommons, but your Application is not affected. Just mind the "Non-Commercial" Clause if it exists.
It's a tricky area, at a minimum you should probably arrange for the icons to be loaded at run time so that they can be replaced with other versions, this is at least the spirit of the GPL.
An article discusses this at http://www.linux.com/feature/119212