The metal inside the lead that holds it onto either the distributor or the plug may be damaged. Have a look at both ends, try and bend them in so that they get a better grip. Also i found with some leads (on other cars) they get pressurised when you push them onto the plug or dissy, so you get a dentist pick and bend the rubber boot off so the pressure is relieved.

Id just reckon that the prongs are bent and not gripping properly.