Well, since this seems to be THE Lead question, guess this is where this answer is going.
There are a variety of leads to fit what role you need it to.
I find there are a few types of leads, these might not be all of them, they might not go by this name, but these are what I know them as. This can give you an idea of what makes a good lead, so a Pokemon that is not in the examples can still be an option for you.
Traditional leads: These are your standard leads that you would normally put in front when Team Preview is not on. The guys that saw good use a leads in Gen IV, and can still be used as leads in Gen V as long as you play carefully. Their job is mainly to set up Entry Hazards, they also usually will be outfitted with Taunt or Rapid Spin.
-While due to its tier placement and the intro of Team Preview, this guy will usually see use as a Choice Bander. I'm talking about Aerodactyl. A very popular lead back in Gen IV, it was one of the fastest Pokemon in the game and could almost guarentee setting up Stealth Rock. It also came with Taunt, so it could choose to shut down opposing leads. Azelf can also be used in such a way, and was also popular in Gen IV.These are also under the category of suicide lead.
-Forretress is another example. It can use any entry hazard and also counter other hazard setters through Rapid Spin. Sturdy allows you to take even a Fire type attack and set up hazards.
-Any other Pokemon with a hazard move can be used in a traditional lead role. However, most will usually have Stealth Rock but not have the role of a lead. An example of this is Heatran, who is a Special Attacker who makes use of its typing to easily set up Stealth Rocks. These rocks net Heatran KOs it wouldn't have been able to get before.
Offensive lead: This is my favorite type of lead. You hit hard right from the start and hope to get yourself at an early 6-5 advantage. They usually require good prediction though, as you need to know what your opponent might switch to in order to try and prevent that early disadvantage. The prediction is why I like it, as I'm good at predicting.
-Infernape is my all time favorite Pokemon for this role. It has multiple key features. First is that typing. Fire is usually scared of a Pokemon called Heatran. But Close Combat takes care of any Heatran switch-ins. Infernape's Fire typing also nets it a Super-Effective hit on common Bug/Steel leads such as Genesect. So slap on a Scarf and start the slaughter! It also can use Stealth Rock, so when it is about to die you can either attack or help out the team. Fake Out is another interesting move it has. While more useful in Gen IV when Sash was used more, it can still get a free hit and break Sturdy. U-Turn is another cool move, giving it the ability to scout (more on that later.)
-Alakazam was one I used back in Gen IV, mainly because Inner Focus was a good ability for a lead. While not as useful in the lead spot this Generation and more for getting a powerful hit on faster scarfers and surviving with a hazard and weather immune Sash, it still hits incredibly hard and does come with Magic Coat to reflect hazards.
-Kangaskhan is for the lower tiers. It has a Fake Out (doesn't hit as hard as Persian, but an offensive lead relys on the other moves to be useful) and can then break a team with Return/Frustration. Another guy I used a lot back in Gen IV, even in OU (not recommended now.)
Scouts: When you are uncertain who the opponent will use as their lead, send in the scout. These guys are equipped with U-Turn or Volt Change, allowing them to switch out while also dealing damage in an unfavorable situation. Some are equipped with a Scarf to make sure to outspeed, some are not. Espeon or Xatu are sometimes paired up with these guys so they can reflect hazards on the Volt/Turn.
-Genesect is currently the most used Pokemon who fits this role. The thing is excellent, as Download either gives it a powerful Thunderbolt/Flamethrower/Ice Beam for when it wants to stay in, or a powerful U-Turn for when it needs to get the hell out of there. This guy is currently in use on my main OU team in this role. He does not dissapoint.
-Mienshao is not usually equipped with a Scarf, but it still performs well in this role. Fake Out gets some early damage and then it can U-Turn out of there. It also has the power to stay in and do damage with STAB Hi Jump Kick when the situation is to its advantage.
-Flygon was famous for this role back in Gen IV and it still gets this is Gen V UU. Base 100 Speed, decent power, and U-Turn all makes it an excellent scout.
-Ambipom (and Persian in NU) also fit the description. But they have more tools than the average scout, at the cost of a bit less power behind their other attacks and a good deal less bulk. First off is STAB+Technician boosted Fake Out, which takes a good chunk out of the opponent's HP right away. Second is Taunt, which shuts down hazards. And they get the standard scout move of U-Turn also. They don't need to carry a Scarf thanks to high Speed, which is good because a Scarf sucks with Fake Out.
Set-up leads: The opponent brings in the wimpy Forretress so you take advantage of this by using a Pokemon that uses a set-up attack (after a Substitute usually). This is very risky as set-up sweepers are usually better when their counters are taken down, but this can be well worth the risk if your opponent doesn't have the counter to your set-up sweeper. You can sweep through a good number of the team, if not go right out and 6-0 them.
-Gyarados is my favorite. I've gotten more 6-0 sweeps with him than I have for any other Pokemon. This is thanks to Moxie, meaning a weak lead will be the downfall of your opponent. Instead of Substitute it can use Taunt, which also shuts down hazards. Pretty cool. Unfortunate thing is a x4 weakness to Electric, meaning Forretress's Volt Change will hurt. But this guy is definately worth it.
-Contrary Serperior might not be released yet, but when it is, watch out. Just fire those Leaf Storms and get powerful right off the bat.
-Cloyster is the guy I don't use but who has screwed me over enough to always lead with a Cloyster counter when my opponent has one on their team. Sets up Shell Smash and goes for the sweep. Interesting thing is it also has Rapid Spin and two Entry hazards. While they shouldn't be used on the same set I think, they can make your opponent unsure of what set you are using.