I'm very inexperienced compared to most of the other people who here, but I had a horrible time keeping control of my dog with a martingale-type lead. Maybe I had the wrong size, IDK. I use a 16" chain like this. There are other versions such as snake chains. If you don't want to use a chain, they also make them out of nylon and cord. A slip-lead works the best for me.
Edit: If you can go to a show, they usually sell them there and it's easy figure out what you like. That's what I did.
Having the right fit and keeping the collar in the right place is key to having control no matter what lead you use. The most common set up used in the show ring is a collar like was posted above with a braided leather show lead. If you do a google search you will probably get lots of websites. There were also some advertised on the classifieds of the Forums.
I have a few nylon ones and one black kangaroo leather lead, which is what I use. I have a couple different chains that I use depending on which dog. But I know of some people who have several different leads for each of their dogs. And show leads are way fancier than they used to be. Many have beads or baubles on them and a HUGE array of colors. It's really a personal choice, but I'd definately look around for them at the next show. Until then, I'm sure you could order a fairly cheap nylon on if you're entered in the next show. My plain black one gets me in and out of the ring and I wasn't planning on spending lots of time in the conformation ring so it's a little hard for me to justify spending lots of $$ on another/new conformation lead. However, I do look forward to spending a nice penny on Zest's agility lead/collar, and she'll also need a therapy lead/collar which I hope we'll be doing for years to come. (She already got a coursing slip lead.)