You can get cheap batteries from here:
http://www.dealextreme.com/details.dx/sku.832

You can also get keychaing flashlights (Photon knock-offs) for less than $0.50 at the same place:
http://www.dealextreme.com/details.dx/sku.1253

It does take close to a month to get your order, but the stuff is coming from Hong Kong. They are not the absolute best quality, but they are great at geocaching goodies.

I also carry an X-Light on my keychain. I decided to remove the Arc-AAA after the hard-anodize finish wore off the ridges on my keys. It actually killed one of my car keys. After that, I decided that a plastic-body light was the way to go for keychain use. I **LOVE** how the light is dimmable. This is a great feature for those worried about battery life: only use the power that you need.

I had a problem with my X-Light recently. I found that ONE of the two batteries had died. My guess is that the bottom battery shifted and shorted out against the "spring riser" battery contact. Fortunately, I had over a dozen 2016's lying around and was back in business in no time. I could probably rig a permenant fix with a bit of tape, but it didn't seem worth the trouble at the time.