Web hook in salesforce?

Yes, plenty of options :)

For Salesforce as actor:

  1. Workflow rule that would fire on insert of Lead and send you an email (or if it's for system integration - outbound message).
  2. 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:

  1. Simply poll every once in a while for something like [SELECT Id FROM Lead WHERE CreatedDate > :lastTimeIhaveChecked]
  2. 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.

I hate to self-promote but since some might fine this as a useful answer... I built a Webhook creator for Salesforce. It is open source: https://github.com/jamesward/salesforce-webhook-creator