Leadership (指導 Shidō) stars are a bonus given to members of a character's army. They are featured in Fire Emblem: Seisen no Keifu, Fire Emblem: Thracia 776 and Fire Emblem: Radiant Dawn. They also work differently from game to game.
In Fire Emblem: Seisen no Keifu, every star over the first gives a 10% bonus to hit and evade to characters within 3 spaces of their leader, and the leader themself.
In Fire Emblem: Thracia 776, every star gives a 3% bonus to hit and evade to all characters on the same map as their leader.
In Radiant Dawn, the tooltip for Leadership states that it determines the number of bond supports the leader can have, but this does not seem to be true, as even units with no leadership stars can have bonds. In reality, each leadership star the commander of an army has will boost the hit rate and evade of all units under his or her command by 5.