On a whim, I ordered a  
Nkoray K-106 Cree Q5-WC 5-Mode 230-Lumen Memory LED Flashlight (1*AA/1*14500)  for $13.99 from DealExtreme.  I must say, I'm very impressed with this light.  I don't even notice it's there when clipped to my pocket - I often sleep with it clipped to my pajama bottoms for late-night trips around the house.  I know some folks don't trust stuff from DealExtreme, but this light seems well made, has variable brightness, and puts out a lot of light from a small size when you want it.  Amd it's cheap.
Of course, now that I posted this on here, the light proceeded to die for no apparent reason.  As others have said, you get what you pay for.  A real shame too, I really liked the light.