I've mostly lead by anarchy, letting all the junior people just tell me what needs to happen. It's worked out pretty well since we have some pretty talented and hard-working graduate students.
But any success we've had hasn't stopped them from teasing me at times. This included making me attach the most difficult screws in one of our cameras- one has to blindly reach two feet into a space with about two inches of vertical clearance and screw together two parts. Oh, and if you drop the screws, it can take several hours to fish them back out (which you must do). What would have taken a more experienced grad student 5 minutes took me a better part of an hour.
They also insisted I do "sweet jumps"- body surfing down the snow drifts. There's a significant drop just outside the observatory where they video taped me. This drop exists because the observatory is sinking into the ice-cap and over the past 20 years has fallen the height of the drop (15 feet or so). Apparently I look like a nervous seal in this video; judge yourself:
The sauna is broken right now, which is probably a good thing since they've been talking about making me run out of there and out to the pole...