There are 2 leaders I never leave home without, a 9ft 5x leader and 7.5ft 4x. The Rio Powerflex Leaders are my go to leaders for most situations.
The two main things to consider when deciding what leader to use is the length and the thickness. Long leaders are tougher to cast, but are better for wary fish as they put more distance between your fly and your fly line. They also aid in presenting the fly delicately because they help dissipate the energy from the fly line. Conversely, a shorter leader will do better with large wind resistant fly because it transfers the power from the fly line better to cast the large fly and straighten the leader. So for a grasshopper pattern we would recommend a 7.5ft 3x leader and for a tiny mayfly on a clear slow moving spring creek we would recommend 12ft 6x leader. Catch our drift?