I ask this both out of curiosity, and if I wanted to create an object that I wanted to act as a child to one of those objects I would have a better idea how I could do that. Let's say for example that I wanted to save data unique to a lead that I collected at a kiosk that doesn't fit in the standard lead object ... creating a child object to hold that information would make sense, but I can't.
This currently is not a functionality in Salesforce. Check out the below excerpt from the Relationships Among Objects developer page.
You can define master-detail relationships between custom objects or between a custom object and a standard object. However, the standard object cannot be on the detail side of a relationship with a custom object. In addition, you cannot create a master-detail relationship in which the User or Lead objects are the master.
There is an idea out on the community if you would like to vote for it. Ability to create Master-Detail relationships from Custom Objects to Leads