I use an All Pro weight vest for my leg work in addition to a barbell for squats, plie squats and lunges, and I really swear by it. I don't have the dough or the space at home for a squat rack, so the weight vest is a great alternative. I only use a barbell for leg work, no dumbbells, but that's just a personal preference; if you like doing dumbbell work with the weight vest that's fine too.
I wouldn't recommend wearing a weight vest if you're doing a cardio-leg-circuit routine, but certainly for stand-alone leg strengthening it's great.
There are a few brands out there. As I've mentioned, I have the All Pro brand, which is adjustable up to 40 lbs. Caution on that one: it's very clumsy for shorter exercisers (like me) because it's a tad long, and can feel like an iron pup tent on you. I believe there are other brands that are more form-fitting. Also, be advised that weight vests REALLY hold your core heat in, and you generate a ton of heat when you're doing leg work. This is no small issue in hot/humid weather.
Check out your local SportMart, or online at Fitness Wholesale, Perform Better, Power Systems, and/or Fitness First.
A-Jock