depends what you want to use it for

on the bike, camping or general use i use one of these
http://en.petzl.com/petzl/LampesProduits?Produit=622&Critere=0
these will attach to most things tent poles, handle bars, around your wrist or head with no bulky straps so it will go in your pocket when not in use.
go for the 4 bulb version it has 3 power settings theyre on ebay for about £18