You'll have to be more specific and let us know what you're doing, and what's happening when you do it.
Sometimes if you don't select the paragraph return at the end of a sentence when adjusting the leading then the leading will seem not to work.
Turn on Hidden Characters in through the Type Menu, when you select the paragraph make sure you highlight the paragraph return too.
It could be something else, but won't know much else until you let us know what issues you're having specifically
I'm having this problem right now, on the first time I'm using InDesign CS6. Illustrator CS6 works fine, but Id6 doesn't change the appearance of the text, whether the leading is 6pt or 24pt. Above 24pt, works fine, but values under 24pt look the same, except 12pt. On this example, the font-size is 12pt.