The point of a leveraged ETF is to allow individual investors and institutions the ability to take advantage of the power of double or triple margined trading positions without the hassles of cash/account equity management. Anyone remotely familiar with the concept of margin trading understands the dread associated with a margin call. The most popular funds are triple leveraged ETF funds - which as the name implies offer three times the amplitude of returns relative to the underlying fund or index.
Before one picks a leader in this space it really pays to narrow it down by sector - as different firms specialize in different sectors. On the other hand - it still is fair to say that ProShares funds are determined to compete heavily in effectively all of the leveraged spaces. A quick review of the leading equity ETFs marketed based on leveraged trading shows that the ProShares brand dominated nearly all equity segments in 2011 (see also their sector Utilities leveraged ETF). Other prominent names include Direxion, Barclays, and Guggenheim. That said, it may pay to look elsewhere to look for the best gold ETF if your interest is in commodities / precious metals.
Although tax consequences are hardly a principal concern of investors interested in margin-styled ETFs, it is worth noting that (in general) ETFs tend to be more friendly come tax time than their mutual fund bretheren. Why is this? Although in principal the funds have a similar purpose (to allow an easy way for investors to pool resources to reduce risk, access new markets, and reduce transaction costs) - the way funds receive money is so structurally different that in general ETFs do not always have to turn over their portfolios as often in order to meet cash-management demands. In simpler terms, redemptions at mutual funds are funded via sales of positions whereas "redemptions" of ETFs are effectively share trades conducted live in the marketplace (between investors) with no net change in the cash position required of the fund itself. The end result is (usually) reduced capital gains / losses from transactions.
While the heightened returns associated with all forms of leverage trading are what draws investors to leveraged ETFs, there are also considerable risks as well. Namely, that if the market goes in the wrong direction - it is apt to go in the wrong direction MUCH fast for those holding leveraged positions. Another risk typical of this type of investment is the popularity of these same funds amongst institutions using HFT (high frequency trading) algorithms. These HFT computer programs aim to manipulate price in real time to earn profits in small increments over a massive amount of trades. Ultimately any small profits that accrue to HFT traders come at the expense of retail investors who are helpless to these trading whipsaws.
Ultimately, whether an investor chooses a leveraged ETF or short leveraged ETFs it is fair to say that both the risks... and the rewards are amplified by the double or triple leveraged ETF investments.