There's an eBay listing with 6 LEDs that looks interesting. No affiliation. I have no idea about the quality. You can get 10-packs of these from the same seller. If you buy a bunch you can probably get a better deal. Maybe even negotiate a "no battery included" deal.

[Sorry, tried to post a link but some anti-spam bot censored it out.]

The other option to consider is that 9V batteries actually have six individual AAAA batteries inside. They appear to be full size, though I haven't checked this closely. These batts can be adapted to power small headlamps etc. And there is one nice, skinny little Streamlight penlight that uses AAAAs.