Lead generation is an extremely broad topic that essentially means finding people who are interested in what you your type of business [or your clients] offers such that you can turn them into a conversion.
For example, if I offer home loans and you have a site about buying a house you could have people who are ready to buy send in their information for me to contact. For this I might pay you a fee for each lead.
Or leads could be about you getting local businesses to come to you in order to find new clients [hopefully not as a marketing service].
Leads come in every flavor with many possible outcomes and are by no means limited to the web.