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=169690There'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.htmIt'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.