In reply to Stuart Wildman:
I'm quite often found in City Bloc, it's about 15/20mins from the station. The Leeds Wall is about the same in the other direction. I tend to cycle to them both from the station.
If you're after bouldering I'd definitely go to City Bloc, much better than the Leeds Wall and (IMHO) a fair bit better than The Depot.
The Depot is too far to walk but you could get the train to New Pudsey, I believe it's only a short walk from that station.