A whole chicken leg is nothing more than the drumstick and thigh still connected. They're super easy to separate and the individual pieces work great for finger food. Keep things simple and baste with bbq sauce, wing sauce, or a simple honey/garlic/salt mixture prior to grilling or baking.
To separate the drumstick from the thigh, lay the leg skin side down on a cutting board and use your fingertip to locate the ball joint between the thigh and drumstick. You can also usually locate the joint by the line of fat that runs along it. Cut through the joint, separating the thigh from the drumstick. If you encounter any resistance, simply move your knife slightly to the left or right and it should go through easily.