EDIT: Check out Adein's Group Leader Addon that does this and more (and is also coded much better!):
http://www.esoui.com/downloads/info284-GroupLeader.html
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After many frustrating nights of trying to track the group leader in Cyrodil I created this Add On to give me a point of reference so I could stay with my PvP group better.
What it does
This Add On puts a marker in your compass that points in the direction of the leader of the group you are in. It works in the same way as waypoints/quest markers so you know if the marker is in the middle of compass you are heading towards your group leader.