The core concept of GUMSHOE can be simply stated (or shouted from the rooftops) as “it’s always more fun when the players get the clue”. One could argue, though, that it’s sometimes more accurate to say that the players always get the lead.
A lead is a clue that leads in to another scene. Leads are usually (but not always) core clues, and core clues are usually (but not always) leads, so it’s easy to get the two confused. It’s worth disambiguating the two in your thinking.
So – a lead is a clue that points to another scene. It can be something that the players uncover (Evidence Collection: you find a matchbook with the name of a bar written on it), or something the characters know (Bureaucracy: the victim was a student at the local university; it might be worth checking college records, interviewing his associates and lecturers there). Follow the lead, and you get to another scene.
A core clue is something the players must find for the scenario to progress. While most core clues are leads pointing to the next core scene, you can also have core clues that foreshadow weirdness or lay pipe for future plot developments. (Biology: My god, it’s like this student is growing gills! That doesn’t immediately lead anywhere, but it’s important for the players to later discover the mad ichthyologist in the university).
You could even disambiguate further, splitting things-gained-through-investigative-abilities into four buckets:
Core Leads: points to a core scene. The players must find this lead for the scenario to work.
Leads: points to a non-core scene (alternate, hazard, subplot, etc)
Core Clues: a piece of vital information needed for the scenario to make sense. The players must get this clue.
Clues: Any other piece of information.
Note #1: In general, every scene should have a lead (or multiple leads) that lead-in to it. The exceptions are scenes like antagonist reactions, which are triggered by the GM, or fuzzy “stuff to do in town” catch-all scenes that usually occur when the players are gathering information early in the game.
Note #2: There’s a subtle distinction between a core clue and an important clue. A core clue might tell you that the bad guy is a vampire and that he’s hiding in that castle over there, because that information is vital to your progress through the mystery. A clue that says “oh, this particular sort of vampire can only be slain by a silver bullet” isn’t core, as you don’t need it to make progress. You do need it to survive, but GUMSHOE is agnostic about whether the player characters live or die – as we said, getting the clues is always more interesting, which isn’t the same thing as safe…