If you are in the pipeline, hover over the lead title (e.g. 32932 - My Lead (Contact)) and a pop-up will appear with the Contacts name as a hyperlink. That will take you straight to the contact's record.
Alternatively you can go to Table View within Leads and you will see the contact/organisation name hyperlinked in blue. Just click on the required contact/org and you'll go straight through that way.