I carry a little single cell Streamlight with a pocket clip. Recently got a nice Inova for a ridiculously low clearance price at Target but it is much bigger, 6 LEDs and a bunch of batteries.
ETA: My favorite pocket light is a Streamlight Stylus, but many people do not have the patience to suffer the logistics of AAAA batteries. Carries like a pen. Asshat stole the one etched with my dad's business logo, my current one is with a green LED, pilots at sea at night tend to frown on people scurrying about with white lights.
Still carry my Surefire G-2, but not everyday, kinda bulky.