Leadership theory is one of the most complex groups of theories to teach management students; nevertheless, it is the one of the most interesting and often desired topics to learn from students. Many organizations are seeking soft skills that are commonly discussed in leadership theory such as building relationships with followers, taking initiative and having effective communication skills (Abraham & Karns, 2009; Graduate Management Admissions Council [GMAC], 2012; Loman, 2011). This paper describes the experiential exercise in which the documentary of a historical figure, Sir Ernest Shackleton, is used to facilitate a discussion on the many aspects of leadership (Butler, 2000). Results from a student satisfaction survey of this exercise and pre-test/post-test data are provided to indicate learning in this exercise.