Headlamps are great. It is always easy to carry a headlamp in your hand, if necessary, and it much harder to paste a flashlight to your head if you need your hands for other activities. I always have one in my "outdoor EDC","since I often would rather have my hands free when walking or climbing.

I have found them useful in other situations - even once in the office when working on the weekend and the lighting system kept cutting out, I simply donned my headlamp and kept plugging away, much to the amusement of my fellow workers. Headlamps are definitely useful when working on autos, etc.

Some of the better headlamps are produced by Princeton Tec (the EOS is my personal favorite, but I am not sure it remains in production), Black Diamond, and Petzl. All of these will give you bragging rights without the expenditure of disgracefully large amounts of coin. There are many other moderately priced models available as well. If you really need them, there are models selling for hundreds of dollars. Some of these are available in special kits that are adaptable for bicycle use, etc. (This is true of the EOS).

If you wish to go caving, a solid headlamp is virtually mandatory.

There are occasions where you do not want ot wear a headlamp. Occasionally on trails, the angle of the light will wash out irregularities on the trail, robbing you of any depth perspective. It can be quite disorienting. The problem is easily solved by simply transferring the headlamp to your hand, giving you a more useful angle.