Do I correct this or leave it be?

Follow your heart. If it truly bothers you then say something to them, but if you can tolerate it then leave them be. Nobody should be offended if you were to say something. Sorta like Bryan, my girlfriends name is Lily as opposed to Lilly. Many people spell it wrong, but she has accepted that and decided to not worry about it. Its totally up to you.

Keep introducing yourself as "Less-lee" and identifying yourself on the telephone that way. If people keep on calling you "Lez-lee" after repeatedly hearing it the way it should be pronounced, I think it would be all right to correct them, nicely. You could try saying something like "By the way, Jack, the first syllable of my name rhymes with 'press,' not with 'prez.' It's 'Less-lee,' not 'Lez-lee.'" Don't be surprised, however, if they seem unable to hear the difference (Incidentally, how do these people pronounce "Wesley"?)

Another thought: might you be from a different part of the country from all these people? It's possible that the z pronunciation is the standard one for that name in the place where you now live.

You can correct it if it bothers you, but don't be overly adamant about it. My name is Bryan, and it's misspelled as Brian a lot, and if someone misspells it, I just casually mention they spelled my name wrong and usually they get it right. Some people (actually...in my family xD) continue to spell it Brian, but I just deal with it.

co-workers*

no i think its fine.