I know this is one of the standard answers, but the new Arc AAA Premium is very sweet. This time, the "premium" designation is about more than just tint. It's much brighter than the standard version. $40. Uses common AAA batteries. Water proof. Extremely tough. Only a little bigger than the AAA battery inside.

I bought one. Now I'm done looking for keychain lights. <img src="/images/graemlins/smile.gif" alt="" />

(Until the next Arc version with an even brighter LED.)