A leading question, also known as a "suggestive interrogation," is one that suggests (or leads to) the desired answer. Most of the time these are questions which have only yes or no as correct answers.
For instance, in a police interrogation, to be asked "Were you at Smith's Bar and Grill on Saturday night at 9:00?" the person being questioned can only say yes, no, or go off on a tangent of denial. However, if asked "Where were you Saturday at 9:00 PM?" this open-ended question can elicit any number of answers as well as open a productive dialogue. In professional settings (law, law enforcement, mental health, etc.). the open-ended question is always preferable and elicits more reliable answering.