It is the first time Tigers and Saints have been in a final together and offers a chance to secure a place in next season's Heineken Cup.
The Tigers claimed their place in the final with a never-say-die performance against Bath at the Recreation Ground last weekend, winning 17-16.
Bath had romped through the pool stages, scoring almost seven tries a game, but found themselves locked in a typically hard-fought contest with their old rivals.
18-year-old fly-half, George Ford, kicked four crucial penalties to help earn the win together with an opportunist try in the first half by lock Graham Kitchener.
Cockerill is looking forward to Sunday's clash, saying: "There is a big rivalry between the clubs as such close neighbours, but it is a healthy rivalry because there is a lot of respect for the work of both clubs.
"We know each other well, there is a lot of history there, and every game between Leicester and Northampton is a big game.
"The two teams have never met in a cup final before so this promises to be a great occasion for the players and the supporters. It'll be full-blooded and fully committed, and should be a great spectacle."
Northampton progressed to the final with a deserved 27-12 win over Scarlets in a hard-fought game at Franklin's Gardens.
The Welsh side had no answer to Northampton's powerful driving maul, which they set up time and time again to gain metre after metre and lively performances from Alex Waller and Scott Armstrong led to them scoring the only two tries of the game. Fourteen points from the impressive Stephen Myler emphasised Saints' superiority.
Northampton director of rugby Jim Mallinder is focusing on victory over their rivals.
"When you start the season you only play in three competitions and you set out to win all three," he said.
"Unfortunately we got knocked out of the Heineken Cup so we're left in two. We want to win both of those, and this starts on Sunday with the match against a Leicester team which showed all its qualities in the win down at Bath last weekend.
"Recently they've been playing well in the Premiership and LV= Cup and getting good results. It's going to be a very competitive game, very physical, and tough at the breakdown and set piece.
"But nobody wants to get to a final and lose - it makes for a depressing trip home. You want to get there and win, and that's what we've been focusing on all week."
Leicester club captain Geordan Murphy returns to lead a team which also includes Thomas Waldrom, Logoviii Mulipola, George Skivington and Matt Smith in changes to the line-up which started against Bath in the semi-final.
Toby Flood, released from the England squad alongside Waldrom earlier this week, is named among the replacements.
For Northampton, James Downing and Soane Tonga'uiha are the two changes to the starting line-up which beat Scarlets, with Tom May and Alex Waller replacing them on the bench.
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