Yes, you get more distance out of a shooting head rig (i.e. a running line with a changeable head). Monofilament lines like Amnesia or the newer nylon products like Rio SlickShooter typically will throw the farthest, although dedicated "fly line" running lines like those made by Rio etc. are MUCH easier to handle (and can be found in floating or sinking varieties).

That being said, shooting heads are a royal pain to deal with, and I'd rather use an "integrated" line (i.e. a non-changeable shooting head) any day of the week. The Rio Outbound someone mentioned is a good example, as would be the classic Teeny T Series lines, but everyone makes a similiar line.

Polyleaders/Versi Leaders are really a different sort of beast. I guess one could set up a shooting head on a very light rod with a poly leader (one would have to match the grains to the rod) with a running line, but not sure why you would want to. More often than not, they are used as impromptu sinktips, or leaders on spey rigs.