The most amazing little flashlight I've seen to date is the Fenix Fenix P1D CE LED Flashlight. It runs on a single 123A lithium battery and it is incredibly bright for its size.

Yeah at about $65 it is expensive, but it is an amazing light.

I bought one to put on my wife's barn keychain because she needed something pretty small but strong enough to make her comfortable. She hates going from the house to the barn in the dark (morning & evening). It has taken quite the beating on that keychain over the last year or so and not only is it working fine, but it is even scratched.

My own EDC is a Arc Premium AAA. That ran $40 or so, but to do it all over again the Fenix P1D CE blows it away. The Fenix P1D CE is a little chunkier than the Arc, but also sooo much brighter.

If you're looking for something cheaper and more basic, the small orange pocket-sized LED lights (with switch - listed at the bottom of their Flashlight site) sold by countycomm.com are really pretty nice ... and only $1.00 each. For that price they can be considered essentially disposable - though the batteries can be replaced.