The Bank of New Glarus is offering a leap year CD bonus special.
Link to bank's promotions page
Earn a special APY bonus on all CDs between 2/29/2012 and 3/2/2012.
They haven't posted the APY bonus yet. Based on their standard rates, I'm not optimistic for any great rate. It appears that a branch visit is required.
This is the only leap day deposit special that I've found so far. I've found a few other leap day bank specials, but they are loan specials.