Leading is basically another way of saying line-height. And line-height describes the total distance from the bottom of one line of type to the bottom of the next line of type. Here’s a little graphic that shows what I’m talking about:
You don’t want too much space, otherwise the page will look airy—the proportion of white space to type will be way off. How much is too much? Double spaced is too much. Yup, every teacher’s favorite line-height is usually far too tall.
Think of every little dot of ink or every pixel as contributing to an overall darkness of the page. The more type on a page, the darker the page. The bolder the type (weight), the darker the page. The wider the line length (measure), the darker the page. The closer the letters sit together (tracking), the darker the page. And—here’s the one we’re talking about—the closer the lines of text sit together (leading), the darker the page.
You want to aim for a pretty even grey—not too dark, not too light—which means that you’ll need to adjust all kinds of things depending on how big your page is: typeface, weight, measure, etc., etc., etc.
Anyway, all that is to say—generally, you’ll probably want your line-height somewhere around 1.2 or 1.3. Generally accepted point size/line-height combinations include: 9/11, 10/12, 11/13, & 12/15.