A certain field should only be required when a lead is in a particular stage. How should this be implemented?

Marking a field as Required at the field level makes it required universally across all records and page layouts - it cannot be conditioned on a stage value.

Marking a field as Required on a Page Layout enforces it for all users on that layout regardless of stage - it cannot apply conditional logic.

A Validation Rule can use a formula that checks the lead stage field and only triggers an error if the required field is blank when the stage matches a specific value. This provides conditional field enforcement that is not possible with static layout or field settings.

A Workflow Rule automates actions such as field updates or alerts after a record is saved, but it cannot prevent a save or enforce a required field conditionally.