The king of leg exercises. The barbell squat!
The main reason why people advocate squatting in order to build your whole phsyique is because squats are the biggest and most intense compound movement. By compound movement, i mean that it involves the most and largest muscle groups. Put simply, by squatting heavy, you will overload your central nervous system and force your body to grow and get stronger.
If you are not squatting in the gym now, i suggest you start soon. Many people come up with different excuses about why they shouldnt squat, some of them have some merit. Most do not. If you have a weak back lower, perhaps you shouldnt squat heavy, that may be true but you can still do medium weight 15 rep squats with perfect form. You can also use the leg press machine or hack squat machine, which make good alternatives to a squat.
Another benifit of squating or other compound leg movements is that they are very intense on your cardiovascular system. They give you the benifit of cardio, without doing cardio. Dont believe me, there is much research on the benifits of intense resistance training on your cardio levels.
Other leg exercises
I just mentioned the hack squat machine and the leg press machine. In my eyes they are not as good as the squat, however they are great alternatives to mix up your workout or have as a secondary exercise.
When im doing my leg workouts, i ususally pick one compound lift out of the squat, hack squat machine and leg press. After that i move onto some isolation exercises to finish off my quads, glutes, hamstrings and calves.
Some good isolation exercises for your quads are: Dumbell step ups, Rear lunges and leg extensions.
Some good exercises for your hamstrings are: lying leg curls, good mornings and stiff legged deadlifts.
Finally, some good exercises to bring up your lagging calves are: Seated and standing calve raises. I generally like to finish off my workout by blasting my calves doing 5 sets of both. Personally my calves respond better to higher reps. Something you may want to try out!