Yes, plenty of options :)
For Salesforce as actor:
- Workflow rule that would fire on insert of Lead and send you an email (or if it's for system integration - outbound message).
- You can always write an "after insert" Apex trigger and have in it a callout to external system (SOAP and RESTful APIs are supported). Although you'll need a @future annotation because the triggers by default aren't supposed to send callouts (the database commit/rollback shouldn't depend on whether the external system has accepted the message or not).
For external system as actor:
- Simply poll every once in a while for something like
[SELECT Id FROM Lead WHERE CreatedDate > :lastTimeIhaveChecked]
- Or there's fairly recent addition called Streaming API. Basically you define a PushTopic (query that interests you). Salesforce peeks at the current results returned by it and whenever the results change you'll get a notification. I haven't played with it yet but seems from the docs you can set event type to show "created" events only. This might be closest to a webhook.