Leadership is seriously tough - there's no doubt about that. Much is written about the theories, practices and habits of top-performing leaders. I particularly like what Harvard Business Review's Elena Botelho, said in an article entitled "What Sets Successful CEOs Apart". She noted that speed of decision-making was one of the four key skills of top CEOs. That doesn't mean that they always make good decisions (because they don't - they're human like the rest of us), but that they make decisions promptly, which gives clarity to their employees and can ultimately be changed if they don't work well.
But above all of that, I believe we need to see congruency in our leaders. In other words, our leaders need to do what they say they'll do and have done what they ask us to do. Otherwise, it's hard to get on board with someone who you feel is only talking the talk, not walking the walk.
Furthermore, I believe a leader needs to be real, warts and all. Personally, I found that when running a workshop, training or facilitation session, the participants engage much better if they know that I've had similar problems to the ones that they are facing. It's not trying to be cool, it's just being honest.