Most good headlamps don't use AA's, but rather they use AAA's due to the smaller size.

I'd strongly recommend you consider the Princeton Tec EOS headlamp. Its a fantastic headlamp:

http://www.flashlightreviews.com/reviews/princetontec_eos.htm

The Princeton Tec Apex is their higher end LED, and it does take AA's using a battery pack that sits on the back of the strap:

http://www.flashlightreviews.com/reviews/pt_apex.htm

Petzels are also good headlamps, but they they can't use lithium batteris, which is actually pretty big deal for me.