I've got a couple of Surefire lights, but I also bought one of those "as seen on TV" Bell & Howell Tac Lights, which is very bright for its size, has focus capability, and uses standard AAA batteries. Usually available for under $10, I think it's a heck of a good flashlight for the price.
Despite the name, I don't consider it a "tactical" light because it has multiple modes of operation - brightness, strobe, etc. - which can only be accessed sequentially through repeated pushes of the button on the end cap. But for general purpose use, it's pretty good.