Lead By Design
Leading by design means that you design your game (either your campaign or the game system) to encourage certain kinds of behavior. How do you encourage things? You make it more effective for them to do it, easier to do it. If you want people able to speak a lot of languages, step 1 is to make languages present in the game, but step 2 is to make it so acquiring a language is easier. When acquiring a language is easy, and it pays off rewards in knowing things, then people will gravitate towards learning the languages.
Most systems do this in other ways too. For instance, there is an edge to be found in most 'modern day' systems in using fire arms. This encourages people who want to win fights to use these items. Why? because they are more effective. While you are going to get some people wanting to play the outliers. The swordsman in the world of gunslingers and what not, the game mechanics encourage people not to do this, and thus show that going against it is going to be more of a challenge.
The point is that people will naturally go for the path of least resistance, and while individuals may buck this trend you can assume most will follow this. So, to lead people to a certain course, make it the path of least resistance. However, if you are doing that you need to be careful because one trap along the way can make people doubt that path and go elsewhere.
Lead by Reward
Leading by reward is something that a GM can do on their own, but it is also something that you want to put into your system if you can. Rewarding players for doing things is an amazingly powerful tool, it straight out says "you get this item which will help you out because you did X, Y, or Z". People like being rewarded, they get that tangible object and they'll try to get more. Set up the game right with them, and you can help your players along down the paths you want your game to be about.
A great example of this would be Mutants and Masterminds and its use of Hero Points. Players get Hero points for a number of reasons, one of which is acting heroic, another is for bringing up their complications. Think about that for a moment, you get a mechanical reward for 1) acting the hero you made and 2) making things complicated for yourself. So basically, you are being rewarded for doing what the game is about, which in turn encourages the players to do just that. Put a PC in a situation of catching the bad guy or saving the civilian. If they go for the bad guy, the civilian dies and they get nothing. If they go for the civilian, they get a hero point, possibly two (one for the save, one for letting the guy go to make the save). That point will help them in a future run in with the bad guy, and can be the difference between a lost fight and a won one later on. But really, what it does best is encourage the player to be the hero. Superman doesn't keep chasing the bad guy, he saves the civilian. Almost every superhero does that, and so when the player does that, he gets rewarded. He feels good about it, the GM feels good about it (his player just saved the day, and the villain got away for future plans), and the game feels like what it was meant to feel like.
Even in games that aren't built with this sort of reward system built in you can add one easily. Give points that can boost rolls, or allow rerolls of failed rolls. Give something to the player in return for making things interesting for their character, or other things. Reward the behavior you want to see more of, and try to hide the grin as your players pick up on that and start to do it. The best part is that you aren't forcing anything. You are encouraging, but the players are still free to do things their way, it just means they don't get the reward. Not getting the reward means the higher challenge events remain just that challenging with nothing to use to make them a bit easier. You provide a path with less resistance, and things will go into it.