I've had to do this once, but it wasn't for anything usable. They wanted to know if I had the necessary skills working with email-based HTML, so they gave me a bit of homework. However, it was an old promo they'd run in the past, so I wasn't creating anything new that they could use today.
If anyone asks for work on current projects for free, the answer is no. I've only had to say it once, and the way I said it was along the lines of, "That's certainly something I'd be happy to do after joining the team and starting work." I work for cash, bitches.
As far as leads, though, I usually keep those pretty close to the vest even after I do join an employer. I've acquired them over 10 years. I'm not going to let an employer scrape them and/or damage my reputation with them.