If you have the Leads tab enabled, you can add your own custom Lead categories on the Application Configuration page.

To add your own contact categories, as an Admin user, log in and navigate to Admin  > Setup > Application Configuration.

Select the Lead Category tab and you will see all y our  current categories.  Just type in the name of a category and press add.  You can click the pencil to edit and delete it.   You can also re-organize by dragging and dropping the hamburger icon.

When adding or editing a contact, you will see a Category dropdown under Campaign.  You will also be able to filter by Category on the Leads search page.