As stated in Supreme Court Rule 206(c)(1), "The deponent in a discovery deposition may be examined regarding any matter subject to discovery under these rules. The deponent may be questioned by any party as if under cross-examination."
Don't neglect this rule. Anyone asking questions at an Illinois discovery deposition is permitted to approach the party "as if under cross-examination," which includes the use leading questions.
Illinois evidence depositions, on the other hand, proceed as if the testimony were occurring at trial. "In an evidence deposition the examination and cross-examination shall be the same as though the deponent were testifying at the trial." Rule 206(c)(2). To determine whether leading questions are permitted in evidence depositions, you have to consider the order of questioning and whether the witness is hostile. See Rule 238. You also have to consider whether the leading question concerns a material point; often, leading questions are permissible on preliminary or insubstantial matters, according to the judge's discretion.
If you don't keep these rules in mind, you won't know what to do during a deposition when an opposing lawyers says, "Objection, leading."
If the objection is made during a discovery deposition, you can generally ignore it. If you don't know the rule, however, you might be led by the objection into posing the question in a non-leading way, thereby depriving yourself of the useful tool of leading questions when it's technically available to you.
If the objection is made during an evidence deposition, you should wade through the analysis described above and decide whether or not the objection is appropriate.