Leaves should be shredded with a leaf shredder prior to being used as a mulch. Shredding leaves is a good idea regardless of whether your main interest is in producing leaf mulch or producing compost.
Shredding the leaves before using them carries with it two advantages:
The best mulches are porous enough to permit the penetration of air and water to the soil, thus promoting plant health. While not a consideration in the winter for vegetable gardens and annual beds, this becomes a factor if the mulch is to be re-used in spring.
And for those more interested in producing compost than leaf mulch, remember that leaf mulch won't remain leaf mulch forever. Think of leaf mulch as compost waiting to happen. That's right: as the leaf matter decomposes, valuable nutrients will be released into the soil and made available to your plants. You can hasten this process by shredding the leaf mulch before applying it. If you don't have a leaf shredder, run the lawn mower over your leaves to shred them. Read my reviews of leaf shredders and similar products for more information.