An arpeggio plays individual notes of a chord after another. It's used in electronic music and assists a repeated phrase whether a chord or scale. Think of it as playing a live instrument.
A lead can be used to create a catchy melody, it is a well-process synthesizer btw. Or the primary layer for your lead melody. It's a general term that describes any sound which may sound good "leading" your production. That's why it's named a "lead" :)