Why are shorter leads preferred over longer leads?
Every bit of wire has some equivalent series inductance.  There is always a magnetic field formed looping around the current whenever current flows.  The inductance isn't much for a straight wire, which is why inductors are made with coils of wire so this effect can be concentrated and magnified.

At high frequencies, these small inductances can become significant.  One way to think of a inductor is as a frequency-variable resistor.  That "resistance" goes up as the frequency goes up, so at some point that wire isn't a wire anymore for the purposes of your circuit.

Another issue is to minimize current loop area.  Current flowing in a loop will radiate.  That's what loop antennas are all about.  However, loop antennas are very inefficient when the loop size is small compared to the wavelength.  Since you don't want all the various current loops in your circuit to radiate or to pick up external radiation, you want to make them all as small as possible.