Hi,
Leading measures the space between the baselines. As said earlier, Auto Leading is defined as 120%. Typical leading is typesize plus two, so 12 pt type would have 14 pt leading. Start there, and go up or down depending on the look you want and if you have all caps with no descenders.
To change the default of 120% for Auto, click the Paragraph panel menu > Justification > at the bottom type another number for Auto Leading. Check yours, as it may be set too high here, and you can set it back to 120%.
Auto Leading is considered wrong, by the way. Using an exact leading is a best practice.
Jane