This will irritate the Detroit Red Wings fans, but I would have to go with Mark Messier by a mile. Yzerman was nothing more than a Detroit phenomenon (especially when the Pistons, Tigers, and Lions were going through a horrible dry spell as far as being contenders). Messier had the look that scared people to fall in line. Messier played hurt. Messier was more than a role player on the Oilers teams (he was the captain on the 1990 championship team people, and he did win the Conn Smythe in 1984)! Comment all you want about 2002, the three cups, yada, yada, yada. Yzerman represented an era in Detroit when the Red Wings WERE the entire sports scene in a downtrodden city, hence the fuzzy memories. Messier elevated the downtrodden Rangers in a city where they took a backseat to a rising Yankees team, a soon-to-rise Mets team (a few bumps on the way, of course), a dominant Knicks team, and decent Giants and Jets teams. Because of Messier, the Rangers became the lick in New York. Because of Messier, the Oilers didn't die after Wayne Gretzky (although they died when Messier left). Because of Messier, the Vancouver Canucks slowly became contenders (narrowing missing out of the playoffs during his last season in the Orca). While Messier couldn't bail out the Rangers upon his return to the Big Apple (blame management for that one), the team nevertheless played their hearts out.
Simply put, Mark Messier is the greatest leader not just in hockey, but in sports history. In hockey history, Ron Francis is second only to Messier, and Yzerman (even as overrated a captain as he is, and if he played in Toronto, he would be a God) falls to third.
Addendum:
I'm not belittling Yzerman's impact as a player...he's one of the most underrated players of all-time hands down (definitely in my top ten, along with Mario, Wayne, Patrick Roy, Bobby Orr, Gordie Howe, Jacques Plante, Mark Messier, and Paul Coffey). I'm not saying he was a horrible captain, either. He was a great captain, to be sure. Just not as great as Ron Francis and Mark Messier.