Yeah it leads on to other things, mostly junk food.
Thats a quote (maybe not an exact quote) from Half Baked, a really good stoner film. I don't believe weed is a gateway drug, at least not to most. I would say a lot of people who do heavier drugs did start on weed but I would say there is as many people, if not more, who only ever smoked weed and never went any further, so to speak.
However, I do believe that the argument for it being a gateway drug has some merit, (this coming from someone who smokes a hella lotta weed) but only because it is illegal. Anyone who has smoked weed has already broken a major law (more so than underage drinking) and probably would be a lot more likely to break another only slightly more serious law to get their hands on a harder drug, and they already may have connections to dealers who can get these harder drugs (I know I do). If weed was legal, people may not be as likely to want to break a serious law to get some acid or heroin or whatever and they wouldn't have the contacts.
But of course there would be some people who want those other drugs so much that they probably don't care about the law at all and I doubt it was weed that made them have that state of mind.