Many flyfishers are reluctant to fish long leaders - they fear that they will get a excessive amount of wind knots. But often, if your have relatively good loop control, that won't be the cast at all, and you might even find you get less.
There are arguments to be voiced both for always fihsing the longest leader possible, but also for never fishing a leader longer than nessecary. I'm not sure where I stand, but I know I almost always fish the longest leader possible. And that varies a great deal!
For fast sinking lines I use short leaders. In rivers, often as short as 3 or 4 feet when casting big tubeflies on heavy shooting heads. For stillwater (lakes or the salt), I'll use a longer leader since there no current to push the fly and leader up, maybe up to a 9' leader.
For floaters and intermediates, I'll often use quite long leaders. My standard leader for the salt, for instance, is a 12' mono leader with a 0,2585mm point, and to this I add a 3-4' tippet of 0,24mm mono. In very windy conditions, I'll omit the tippet. This is fished on a 6-wt Hot Torpedo, and most flies are in the size range 4-8.
For dries, I often fish leaders the same length and very often down to 0,12mm or 0,14mm, depending on fly size. And speaking of fly size, it's important not to try and cast too big flies on thin leader, if you can avoid it.
I have fished extensively for trout and grayling, and I'm used to thin tippets, and so I have no problems fishing light tippets in the salt. In a dead calm, with gin clear water and a blazing sun, going light is the way forward. A really long leader (15-20') and 0,18mm or 0,20mm for tippet and a really smal fly (sizes 10-14) often makes the difference.
I had a trout a few years ago in february. Dead calm, blazing sun. I saw it turn a few times close to. I had on a shrimp fly (a #4 or 6) and a standard leader (around 0,25mm) and covered the fish several times. No luck... I rested the fish, lenghtened the leader considerably and went down to a 0,18mm tippet and a really small mysis imitation. Caught the fish on the first presentation.
But don't fish light tippets unless you have to. But when I have to, I have no quarrels going light. Many flyfishers refrain from going under 0,25mm in the salt, but if you're just a little careful, a 0,20mm tippet is more than strong enough for a 6-wt rod. Think about how many huge NZ-trout are landed in strong currents on lighter tackle.
And Paul taught me the importance of Fuller's Earth, which I always use now - on all leaders. It's become a habit, and I'm almost religious about it.
I loop-to-loop my leader to most of my flylines and I keep a few spare leaders in the vest and always a few ready-to-go with tippers tied on, so changing is a matter of minutes.
I just got the really nice FishPond-gadget in the picture to keep some of the tippets spools under control :-).