Working on multiple research projects as an undergraduate with different professors I am currently a sophomore undergraduate Mechanical Engineering major at a mid-sized public university. I know that I really do enjoy research, I love learning, and I love teaching. I am all-but-certain that graduate school is where I want to go after graduation, and so I have been working to gain research experience.

At the end of my freshman year, I began working with my advisor ("Prof A") on non-research-focused design projects (i.e. not the sort of thing that would lead to a publication), as a way to get some experience working under an advisor and to "get my foot in the door". He was highly impressed by my work (specifically the effort and time I put into the work) and gave me more opportunities at the beginning of this school year (fall 2014) to do more work with him on some research-focused projects.

As this year has progressed, Prof A has given me more and more support and has continued to help me gain funding for my own projects, and is the primary reason that I have excelled up to this point. He has certainly become someone who I would consider to be my mentor in many ways.

Despite all of the great opportunities I have received so far, I want to expand my horizons from the narrow topics I have worked on so far in research. Recently, I asked a different professor ("Prof B") to work on his research team, and he offered me a position. I immediately accepted, knowing that his research is something in which I'm highly interested, and something that I could certainly see myself researching in graduate school. I do not plan on letting this new project with Prof B in any way interfere with the work I am doing with Prof A; I simply plan to work on both concurrently. It should be noted that Prof B was fully aware of my work in Prof A's lab, and this played a role in his eagerness to have me on his research team.

When I mentioned my new research position to Prof A, he seemed disappointed in his demeanor (although nothing he said was necessarily disapproving), as though my working in another lab were not appropriate. I had thought that this should be no problem, especially coming from the standpoint that he is not my advisor in the way that a Ph.D. student has an advisor, so there is no obligation, per se, to consult him before taking on new work.

Was I wrong in not going to Prof A for advisement about this new opportunity, considering all he has done for me? Or was I correct that I have the right to go and find other opportunities if I wish?

As a broader question for the future, does the same etiquette apply in graduate school (master's and doctoral)? Or should actions be different in the two different situations?
If he is just concerned that you will not have enough time to do both, it's up to you to prove that you can handle it. 

But a general feature of academia is the presence of a lot of difficult and fragile personalities. It's not impossible that Prof. A took your choice personally, especially if there is any behind-the-scenes tensions between Prof. A and Prof. B. It's worth thinking about these things, but not too much. If Prof. A is going to be professional about it, there should be no further repercussions in your relationship with him. 

To elaborate in response to your more specific questions... 


  Was I wrong in not going to Prof A for advisement about this new opportunity, considering all he has done for me? 


No. 

I can't say whether or not you communicated with Prof. A in the most optimal way. Maybe things would have gone more smoothly if you said something sooner. But on the other hand, maybe you didn't need to tell Prof. A anything at all. There is no set rule or etiquette, it just depends on what your relationship with him is like.


  Or was I correct that I have the right to go and find other
  opportunities if I wish?


Yes.

You have every right to pursue whatever opportunity you think will be best for your education and professional development. Do your best to maintain good relations with the people you work with, but don't let that stop you from doing what you feel you need to do.