The squat trains your Quadriceps and your Adductors at the same time. In addition, they also activate your glute muscles throughout the entire movement.
This is probably one of the most difficult exercises ever. But it is so worth it!
You can perform this exercise with a dumbbell or with a barbell. Lunges are a close second.
The Leg Press is one of the few machine exercises that are useful. Do not go overboard with this exercise. Control the speed of the repetitions, and do not slam your knees at the lockout.