I usually pick based on traits, though I have yet to play two games all the way through with the same leader. On Civ3, I would branch out some but mainly stuck with Hammurabi (Babylon), which best fit my play style. On Civ4, I find there are so many other factors I consider interesting (main additions being a better combat system and religions), and I want to get used to all of them.
So far, for my complete games, I have played with:
* Elizabeth (GOTM 2, but I was wiped out quickly so it wasn't a true indicator)
* Ghandi (Current Noble game; I am winning based on score barely--may win culture or space ship...have a Great Engineer to build Apollo Program for me

* Saladin (First game, Settler, won easily w/ Diplo victory)
* Spain (I don't recall which leader--if there is more than one...this one was Random, not my choice, and I renamed the leader) - won on time in Chieftain, due to a foiled diplo victory and a miscalculation of how long the space race victory would take.
* Napolean - I won on Space Race on Warlord--to prove to myself I really COULD do it right this time! I also wanted to fight a couple of wars to get some experience here, hence my choice of Napolean.
Sam