It depends on whether the lead is to be self insulated (as dpmac has given the example of), or if you are hanging them in the air from your test transformer to your equipment that you are testing, in which case they don't need to be insulated.
In addition to insulated leads, for voltages up to around 50 kV we use spiral cord (similar to that used between guitars and amplifiers) and put banana plugs and aligator clips on the end for easy connection. It is a cheap setup, and can be re-terminated easily onsite. The lead will be PD free up above 50 kV as it has an effective diameter of about 15mm. The same length lead can be use for long or short distances, just by wrapping the excess length around one of the terminations.
As long as you have a decent size donut around the connection at either end, the connections will also be PD free up above 50 kV.
This arrangement also has the advantage of not sucking too much current into the capacitance of the cable, although this can often offset the reactive current required when supplying a transformer.
If you are in a noisy environment, a shielded cable as suggested by dpmac would be a good option.
ausphil