Are you playing regular Civ3 or do you have the Conquest Expansion? The ablities of Great Leaders changed quite a bit with the new expansion pack.
In regular Civ3, Great Leaders are very powerful - you can use them to rush build anything in a city; basically they can provide free Great Wonders. They can also be used to build armies, which you load multiple units to form one super unit. Move the GL into a city, and then select either the "Rush City Production"or “Create Army” buttons. If you make an Army, then move other units into the same square as the Army unit, and hit the “Load” button to get them to join the Army. Note, once a unit joins an Army, it can’t be removed.
Armies are VERY powerful - a single one can often turn the tide of a war. 2 or 3 knight or calvery armies followed by defensive units can usually take out a mid-size civilization. And later in the game, a single defensive riflemen or infantry army is vital to protect the horde of artillery you need to take on the AI at higher levels. More on that later.
In Conquest, military GL are somewhat weaker - they can no longer rush Great Wonders(They can still rush small wonders, palace, FP, other units + buildings), but the Armies they form get an extra movement point. Conquest also introduces the Scientific Great Leader, which you have a chance of getting if you are the first to a tech. Scientific GLs can rush anything (including Great Wonders) or speed up science production in a city. Scientific GLs are easier to get with Civs that have the Scientific trait.
There is a chance of military Great Leaders popping up everytime one of your elite units wins a fight. (BobLibDem mentioned the Heroic Epic small wonder, which increases this chance.) Note that once an elite unit creates a Great Leader, that unit can’t create another Great Leader, and will be marked with an Asterix.
BobLibDem covered Air units pretty well - if you want a fighter/jet fighter to defend the area around the city it is in from enemy aircraft, make sure to press the “Air Superority misson” button for that unit.
And for some more, valuable advice - when you start out, DON’T irrigate regular grassland. In Despotism, due to the food/production penalities, it won’t due a thing. The general rule is to mine green, irrigate brown, plant forest on tundra, and cut it down elsewhere.
Also, make sure to build lots of artillery units. This will let you take enemy cities with a minimum of casualties. As a rule of thumb, at least 1/4 of your units for any attack should be artillery units in the ancient and medieval eras, and 1/3-1/2 in the industrial & modern ages.