Well, everybody has their opinions. I'll give you mine.

Assuming that are on a reasonable budget, here are the ones that I would look at:

1) Arc AAA light. Perfect keychain light. Around $30 or so. Or, you can get the Gerber Infinity for around $25 or so. The Infinity is dimmer and bigger, but will give you one heck of a run time from one battery.

2) Photons are also good for a keychain, but they take expensive button cells. The lights are cheaper and easier to find, though.

3) Streamlight TT lights. They have xenon bulbs for bright use, and LED's for dimmer, but more efficient running. So you get the best of both worlds, and they are in the neighborhood of $30-$40 or so. I have the one that runs off of a pair of 123 cells, but they come in AA, C and D sizes too.

4) Headlamps are also useful. My favorite is the Princeton Tec - Eos. My local sporting goods store has them for $40. Very nice.

5) If you want a Surefiire, the most affordable one is the G2 Nitrolon. Nice and bright, and only $35 or so.

6) Target has a nice LED lantern using a single LED for around $20.

7) I really like my Princeton Tek Attitude, but ther are other lights that will work equally well. Look at the Underwater Kinetics - eLed and the Streamlight 4AA LED lights.

My list was made with lights under $40 in mind. There are also some great ones in that category that I missed. If your budget will allow you to go up to $100 or so, then a LOT more nice lights open up. For only $250 or so, you can have the very best. One place that I like to buy lights from is http://www.brightguy.com. You can also try http://www.batterystation.com/led_flashlights.htm .

But as others have said, one thing that you might want to do is to choose one or two types of batteries, and stick to the lights that use those. I like 123 cells and AAA cells.

The selection of lights is so great right now, and the quality is so good, that it is hard to choose a bad light (as long as you stick to known name brands).
Note that I am not affiliated with any of these companies that I have mentioned.