Alright, I'll toss in my experience with leaders. Just like all those commercials out in TV land, I'll add the disclamer, "Individual results may vary."
I grew up in a tiny town in Oklahoma, deep in the heart of bass fishin' country. The only time I ever saw anybody fishing with a fly rod, it was on TV. Needless to say, I was fascinated by the beauty of it. There were no fly shops around, and the internet didn't exist, so I had few options. I went to a local store and stumbled upon an "all in one" fly rod kit. It had a rod, line, and reel. No backing, no leaders, and no flies. I pieced it together and found a way to tie on a few feet of 10# monofilament for a leader. I made a couple flies using hooks out of my tackle box and the goodies in mom's sewing kit. Believe it or not, it worked. Not very well, but it worked. I remember taking that rig out to the local fishing hole and hearing the locals comment that I was "teasing the fish with that sissy rod." But I was not to be deterred.
I met my first real flyfisherman at least 10 years later. He taught me about this magical thing called a tapered leader.
Fast forward a few more years and we have the internet. It's a wealth of knowledge. That's where I learned how to make knotted, twisted, and furled leaders. That's also how I bought my first knotless tapered leaders. For many years, I used knotless tapered leaders. Being a bass fisherman by nature, all I ever bought was 0X. After all, bigger is better, right?
I eventually branched out, fishing for trout, bluegill, crappie, striper, carp.... Needless to say, I got a great deal of experience in knotless tapered leaders of all sizes from 0X to 8X, and made from various materials. Like any leader, they work extremely well when properly matched to a fly, line, method, etc.
After a few years, I decided to experiment, mainly because I'm a cheapskate and wanted to cut down the exorbitant cost of my fishing addiction. I thought making leaders might be cheaper. I started with the simplest (aside from level leaders) to make: twisted. They are simple, but they do have their place. I have, even to this day, been known to use a twisted fluorocarbon leader when throwing large streamers for striper and largemouth. I use 10# fluorocarbon and twist them up in my fingers in a matter of minutes. I can even make them streamside. For their intended purpose, they work quite well. And they're cheap.
Then I experimented with knotted leaders. This is where I learned to fine tune a leader to a specific rod, species, fly, weather, water, presentation... If there is a fishing variable, there is a knotted leader to meet it. And if you want to have an eternal guinea pig project that never runs out of options, knotted leaders are the ticket. But they have knots, which will pick up weeds and snag on just about anything they encounter in the water.
My final experience in leaders was furled. I played around with dozens of formulas, materials, attachment methods, and such until I found what I liked. I now only have two formulas (one short, and one long) that I use regularly, and one material (.004" nylon thread) for my furled leaders. I may rarely alter the color of the thread, but that's about it. Everything else is just a change of tippet or a treatment, such as a "greased leader" or addition of split shot.
I prefer furled leaders because they present well and are extremely durable. I still have knotless, knotted, and twisted leaders in my pockets when I am on the river. I rarely use them, but I do have them.
To answer the question about the feeling of catching something on a leader I made, I have to say that is a big part of it. There is a great satisfaction to be found in catching a fish on a self made fly, self made leader, self made (rebuilt) rod, and a reel I built from parts out of dad's junk drawer. If I could make my own backing and fly line, I probably would.