Yes they most certainly did. Notable examples include Swedish kings Gustavus Adolphus and Charles XII of Sweden, both of whom not only led from the front but also died in battle. Richards Coeur de Lion is another fine example, so is Alexander the Great. There are modern examples too, perhaps the most famous of which is Albert I of Belgium who led the Belgian troops of WW1 from the front lines, even sleeping and sharing rations with his men.

This became increasinly uncommon the closer to the modern era we come. The perception of which duties were expected of a head of state changed, as did the scale of the wars and battles. With larger armies the need for a leader to take a step back and see the bigger picture become more important than personal bravery. With larger armies and the rise of firearms we also get a far greater risk to the leader. Prior to the use of firearms a heavily armored leader surrounded by an elite unit of well trained and well armored men was actually relatively "safe" (at least in so far as one can be safe in the middle of a battlefield), Richard Coeur de Lion is perhaps the most shining exception from this rule.