Leaded technique is the oldest method in this craft. Lead cames were the original material used for joining pieces of glass together. Soft enough to bend around glass and yet rigid enough once cemented to offer years of strength to a window.

Copper Foil technique relatively new method invented by Louis C. Tiffany (edges of pieces of glass are wrapped in copper foil and then soldered with tin).
This technique allow solder together separate pieces of glass to form a single object, such as lamp, vase, jewellery box and many others 3-D projects.
Also this is very popular choice for small or highly detailed stained glass windows.