Napoleon III is the most recent Western leader I can think of. He went with the army in the Franco-Prussian War of 1870 and was captured in the humiliating Battle of Sedan. How much he "led" the troops there is debatable though. From what I've read it seems he didn't do much of anything besides give the order to surrender.

King Hussein of Jordan was at or near some of the war skirmish sites in 1956, 1966 and 1970, although I don't think "led the troops" is completely accurate. In 1970 he was taking calls at Jordanian air force site directing some action in the battle to evict the PLO.

I may be wrong but King Albert of Belgium lead his country's army in WW1 in the Trenches. I don't know if he led his men over the top but he certainly faced the same hardships as them and let his son enlist as a Private.