A lead would be someone who may come to your web site and interact with you in some way. The most obvious is subscribing to your RSS Feed or signing up to your eNewsletter. But they haven't "bought" anything. Some will also say having someone subscribe to your RSS Feed or Email is also a conversion, and I guess you could make a case for that. And, it depends on your goals. If your goal is to build your RSS subscribers and/or email subscribers then seeing folks respond to your call to action to become so would be a conversion. But, if you think of terms of a web site's purpose is to spread the word about your products and services and get someone to buy something, then you're probably looking at measuring visitors who become leads via engagement and nurturing activities until they finally convert into a sale.