HOW COME NOBODY MENTIONED RAPID SPIN?
Forretress is famous for its spinning, and placing hazards, so make him a Suicide lead!
Stealth Rock (Open up with this. As much as I hate it, it's got its use)
Sandstorm / Gyro Ball / Counter (Set this up for more
damage. If you're team doesn't mix well with Sandstorm, try Counter. There are rarely Special-based leads on a team, because of their usual frail defense [there are exceptions of course], so Counter is Viable. If you're still not satisfied, then just try Gyro Ball)
Rapid Spin (Spin off whatever the opponent tries to lay down. Makes for a predictable, but nonetheless, effective Lead Counter)
Explosion (When the opponent has been spinned, if necessary, and you've placed down your Stealth Rock, sandstorm, hit with Gyro Ball, etc. Use Explosion for the guaranteed (99.99% of the time!) KO.
For me though, personally, Dual Screener / Anti-Lead mix is the best. It won't rip holes through a team (Who expects Forretress to do such a thing anyway, right?), but it provides incredible support. It's all Defensive, but I've never seen a Taunting lead before (Taunt-Steelix maybe, but how often do you see that?), so you should be safe. To make it appealing though, I can add some alternatives:
Light Screen (One screen.)
Reflect (Two screens.)
(Note that, if your team may not need one of the screens, then you can replace one of these with Gyro Ball, Bug Bite, etc.)
Rapid Spin (Spin off whatever the opponent tries to place down)
Swagger (Base 75 HP and Base 140 Defense? Why not!)
One more set. This one is more of a gimmicky, tricky set, but it still works great! It works similarly to Baton Pass Attacking Shuckle, except it's easier to utilize. You don't NEED to Baton pass any Defense to Forretress, but it saves time, is all. Here it is, folks. Forretress' newest set addition from Gen IV: A PHYSICAL SWEEPER SET. =D
Power Trick (With Base 90 Attack, and Base 140 Defense, you're not really losing out on much. Forretress' Steel typing also makes that 90 Defense look better!)
Gyro Ball (Strong STAB, and with the extra Attack, it makes this deadly)
Bug Bite / Pin Missile (Bug Bite for STAB, but wait, Pin Missile? Again, a bit gimmicky, but it can break Substitutes. Also, on a 5-hit streak, paired with STAB, it's STRONGER than Bug Bite. Feeling lucky? ;D)
Payback / Rock Slide / Earthquake (One flinches and has coverage, the other is strong and has coverage, and the last one is just...Godly. Pick your poison)
WOW, it's been a while since I wrote something this long. xD
Anyway yeah, these are my recommendations. The above sets are good too, but I always found Forretress too Wall-like to just go ahead and sweep, like in the above answers. It's fine for In-Game, but he'd get eaten alive on a competitive-scale, and even on a Battle Tower-scale.