The other guys gave great tips! I had the exact same problem as you: While I could play damn fast rhythms, my leads weren't up to it.
For me, the first thing was to properly learn alternate picking (or "back picking" as Silverhaze calls it). One stroke down, next stroke up, one down, next up, etc. Do this regardless of what weird jumps you'll have to do between strings - it's crucial for building speed.
Next, I needed to learn to relax my fretting hand. Once you do this, things go MUCH easier.
I'd like to emphasize the speed thing: Never rush yourself while practicing. Be cool and take your time. =) Every note must be clear and distinct, with good coordination with the picking hand. Otherwise it won't be of any use.
It's ok to test your speed every once in a while to see how fast you can push yourself, but what really counts is learning proper technique. Once you've got a good, solid technique, the speed will come naturally when you need it (though I've noticed I must always do a warmup of the fingers before I can play really fast =P ).
Also: Don't lose hope if it seems you're not making any progress. This will take time. Some learn it quickly while it takes a long time for others. I belong to the latter category. =P
Well, the other guys said all this already. I just felt I needed to put it in my own words. =)
On to scales then:
I've gathered some scales on a handwritten paper...god knows where I found it - but you can probably find info on google or something.
One of my favourite scales is the natural minor. Actually, I've
probably overexploited it in my playing... =P Anyway, the version
I play starts on the A string and looks like this:
Code:
E -+-o-+-o-+---+-o-+--
B -+-o-+-o-+---+-o-+--
G -+-o-+---+-o-+---+--
D -+-o-+---+-o-+-o-+--
A -+-o-+---+-o-+-o-+--
E -+---+---+---+---+--
I hope the figure makes sense... The minuses represent the strings, while the plus'es represent the frets.
I like this one better than the "full" natural minor (below), because you don't need to move your hand a position down once you get to the G string or stretch your fingers to awkward places.
For reference, here's the Full natural minor:
Code:
E -+---+-o-+---+-o-+-o-+-
B -+---+-o-+-o-+---+-o-+-
G -+-o-+-o-+---+-o-+---+-
D -+---+-o-+---+-o-+---+-
A -+---+-o-+---+-o-+-o-+-
E -+---+-o-+---+-o-+-o-+-
Oh btw: What they mean with "action" is how high the string is over the frets. Low string height is usually quicker to play on.
*edit*
Oh, about the EQ: For rhythm, I turn the midrange down almost to zero, while I prefer more mids in my solo sound to cut through the bass better.