Ray-o-vac now has a nice headlamp that runs on one AA. There's a CPF thread about it:

http://www.candlepowerforums.com/vb/showthread.php?t=169690

There's also the coming Zebralight 1aa headlamp but it's not out yet.

If you want something absolutely tiny and cheap, there is this:

http://countycomm.com/ARES%20SOLED.htm

It's not a headlamp in its own right; it's a keychain coin cell light attached to a sturdy metal clip, so you can put it on your hat brim if you have a baseball cap.