Medical electrical leads including coil electrodes having polymeric material between but not over the coil turns. Some leads can be used for neurological sensing and/or stimulation applications. The coil electrodes are more flexible, bendable, and stretchable relative to corresponding cylindrical band electrodes. The polymer fill between the coil turns provides more column strength than coil electrodes having empty space between the coil turns. Some leads have a lumen for receiving stiffening members while others do not have such lumens. An introducer needle can be used to introduce a steerable sheath containing the lead. The sheath and lead can be advanced to near the target site and the sheath removed. The present invention can be used to advantage in peripheral nerve and other applications. Some leads are made by masking the coil electrode outer surface with heat shrink material and filling the coil inter-strand regions with polymer.