Should a subordinate confront a leader if there are obvious signs of favoritism?

You need to be careful how you do that. You can come at it as a concerned NCO who wants to let your superior know that the troops perception is that there is favoritism...
if the leadership denies it and doesn't change, you know this is deliberate behavior.

The specifics you haven't provided bear heavy on how I would handle this situation. How you've stated your question also raises questions.
First, using "confront" indicates an argumentative atmosphere. Whomever the "offending" individual is, resolving a situation like this demands a discussion (two way), not a confrontation. there are many situations that could give the perception of favoritism and having a discussion might give you another leadership lesson that you can add to by your input to the discussion. The leader may in fact be trying to exercise his leadership on the "favored" individual to correct an unknown problem and may need your input to recognize he needs to change his or her actions to do away with the perception that has been created.
Second, if the leader is another SNCO, depending on your relationship with the SNCO, you might be able to handle it in a very informal manner. Again, the "favoritism" may be the byproduct of another situation.
If you do not feel comfortable talking with the leader for whatever reason, use the senior enlisted person in the unit to handle it. If the leader you mention is an officer, the senior enlisted person normally has a relationship with the CO that would allow communicating the problem to the offending leader, even, or perhaps especially, if it is the CO. If the offender is the senior enlisted person, go to another senior SNCO who has a good relationship with the senior enlisted person and discuss your perceptions with him so that he can take it to the senior enlisted person.
Exerting leadership always has its dangers and is not something you learn once. Leadership involves people and the correct answer almost always involves tailoring the corrective action. Couch your discussion with whomever you discuss it with as a concern, not as an attack on the offending individual.

Define “confront.” Do you mean drag his ass out back and beat the shit out of him, drop a dime on him or do so in a casual conversation?