Leader options:
Normal: This means you hire them, each costing 1 Diplomat, 60d, and some tradition (land or naval). The more tradition you have, the better they get. Explorers and Conquistadors work the same, except you must have QFTNW.
Event: You must provide the events generating them; there are none provided with vanilla. Several mods provide them. If you don't add them, you've effectively chosen a "no leaders" option (except monarchs).
Historical: Those leaders defined in the nations' history files show up when they did, and die when they did, provided that nation exists at the proper time. Any nation which didn't exist at a given time will get no leaders then. Note that this includes cases like ENG/GBR and CAS/ARA/SPA. The only leaders you will get will be those for the formed or unformed version, if the nation's formation date, in-game, is different than history. Thus, if you form GBR in 1550, you won't get Francis Drake, who is an ENG leader. NOT recommended except for short replays of specific wars.
Hope that helps.