* Cancer (the Crab): Located to the west of Leo.
* Virgo (the Virgin): Located to the east of Leo.
* Ursa Major (the Great Bear): While not directly bordering, it's very close to the northern edge of Leo.
You could also argue that Hydra (the Water Snake) is close, as it stretches across the sky near Leo's southern border.
So, depending on what you consider "closest," you could say Cancer, Virgo, Ursa Major, or Hydra are the closest constellations to Leo.