I think, in different ways, Tidus, Yuna, and Auron take on leadership roles. Whenever Auron sees them losing focus, he's the one who gets them focused again. Plus, he seemed to be the one deciding when they'd stop to rest (Mi'ihen Highroad) and when they didn't have time to rest (Seymour's manor, Thunder Plains), and everyone seemed to let him decide that. Tidus, like someone mentioned above, does start seeming more like a leader toward the end of the game, as he makes the big decisions for the team after Yunalesca's defeat. But it's Yuna's journey, and therefore, she's the one who's truly in charge of the whole thing. She chooses her guardians and aeons and decides on everything the party will do overall.

As for the other four . . . the only time we see Wakka do any leading is for the Aurochs. Lulu, Rikku, and Kimahri take no real leadership roles at all in the game.