Leopard differs from Tiger in what happens when you plug in an external display to your MacBook. Unlike Tiger, even if the external display is set to be the primary display (i.e. the one with the menu bar), all windows stay inside the internal display. If you have many windows open, moving them one by one is a major bummer.
To work around this "feature" (read "bug") simply close the lid of your MacBook right before plugging in the external display. As soon as the display is recognized all windows will automatically be moved to it. Only then, if you don't have an external keyboard and mouse (or simply want to avoid overheating of the MacBook), open the lid back.