Once a duplicate has been detected by the system, you'll be warned when looking at the lead, and presented with a few options. Here's a quick explanation of what happens if you choose to merge two duplicate leads.

When merging, we call the two leads the "Keeping" and "Merging" leads. The "Keeping lead will remain with all it's data intact. The "Merging" lead will have it's activity log copied to the keeping lead, and any additional data will be copied as well, as long as the keeping lead does not have data in the corresponding field, and the keeping leads list has a field that corresponds to the merging leads list.

After the merge, only the "Keeping" lead will remain, so if the "Merging" lead was on another list, it will be gone from that list.