I write a simple Arduino software where I read some information on analog pins. I compile this software on an Arduino Leonardo and on a Funduino Mega. Anyway, the Arduino obtains a better sampling frequency. Did you think that I can improve the frequency performance if I buy an Arduino Mega?
The main difference is using on-chip USB interface on Arduino Leonardo. You can use baud rate settings, but it'll be ignored and it'll run as fast as it's possible.
On the other side, if you're using Mega 2560 with Serial.begin(9600); and for example Serial.println(analogRead(A0));, then it's not possible to get about theoretical 15000 samples per second as you can send only about 960 characters per second.
Btw: for three 8bit characters (for HEX representation, 4 characters for DEC representation), "\r\n" separator and 15000 samples/s you'll need baud rate about: 5*(1+8+1)*15000 = 750000 baud/s (8bit characters + 1 start bit + 1 stop bit)