Leo is Dominick's best friend. Well, Leo might be Dominick's only friend, and these two get along so well because they're both total pieces of work.
Angie, Dessa's sister, dates Thomas until he starts having erotic fantasies of martyred saints. It's a deal breaker for her. After this, Dominick introduces Leo to Angie and this time, the relationship takes.
We hardly ever see Angie and don't know anything about her, but Leo is in a few scenes. He's mostly a selfish jerk, someone who has been in an out of rehab, cheats on his wife, and auditions for movie roles while managing a used car dealership. He loves talking about "the law of the jungle" (12.116) and "survival of the fittest" (22.248). When they are teenagers, Dominick is told by Ray that "guys like [Leo] will sell you right down the river" (16.28), and Leo does just that when they're busted by the cops smoking weed together.
So why are they friends? Well, Dominick isn't the type of person that has friends, and these two guys are really two sides of the same coin. Also, Leo is loyal. He helps Dominick blackmail the hospital by impersonating an attorney, and he helps Dominick take care of Thomas. So he does have a good side, even if it has a dark tinge to it.