You shouldn't lead with your team's main sweeper, or it runs the risk of dying early. Sweepers switch in on resisted or immune attacks, such as Heatran to a Fire attack. Thee are some sweepers that are so fragile they can't switch into anything, such as Deoxys-A. These require a sacrifice to get on the field.
For more, go through the RMT archives. Hope this helps and good luck!
You asked a couple questions and I MUST ANSWER THEM! I'm not amazing or anything but I can give you a few general tips.
First, your question about 'annoyers.' It really depends on the team style you play, stall teams definitely need 1 or more of those kinds of Pokemon but offense teams don't.
There are generally two kinds of leads: entry hazard leads and anti-leads. The first's job is to get up entry hazards for you, and prevent the opponent from doing so. There are bulky leads such as Heatran, and 'suicide leads' like Aerodactyl. Anti leads are used to kill the leads you opponent uses. An example of this would be Machamp.