Depends. I would sometimes run 2 attacks (Thunder Bolt, Flamethrower, Grass Knot, Hidden Power Ice.), along with Explosion, and either drop the rocks or drop taunt. Most leads that you would want to taunt, you can generally dent pretty well if you have the right combination of attacks. On the other hand, the leads that could set up on you without Taunt you can take care of by having taunt, and getting rocks in at a later (even if it's worse than getting up pronto) time. That and assuming you get a free kill on the lead like Thunderbolt on Gyarados or Grass Knot on Swampert, you could try to get Azelf outta there and save explosion or have him explode anyways on the next thing that comes out. That prospect is really nice compared to just saying "Oh look, I has taunt"
I used to run Aero as a lead. It was nice, found it fairly useful against Tyranitar, Heatran, Metagross without BP and even with BP you could trap it (You attack it first turn. It presumably attacks you, MM or BP. Then he'll probably use BP to finish with priority. Throw in Magnezone (either scarf or to absolutely guarantee he dies specs but pray you are faster) and **** him. Against an Aero that attacked you straight up, what are the odds you would risk a move like Earthquake anticipating the switch? For all you know the other person might throw in something solid like a Rotom, where your EQ is still useless despite knowing they wanted to try and tank the BP/whatever), Azelf, weird stuff like Zapdos leads or Gyarados/Dragonite/Yanma. Scarf sleepers were still annoying, Forretress was annoying but you could get away with trapping it like Metagross, stuff like Hippowdon was meh but at least you could taunt it, Skarmory same you could trap it, Jirachi was a pain but if they weren't careful and didn't pick Uturn or Fire punch Magnezone ***** them, etc. Even though he is basically a suicide lead, I found him just good in general as a lead. He struggled against really good prediction, and pokemon like Swampert who gon **** you, but at least you could blame them for killing the dinosaurs when they KO'd you.