ok, well, i don't really know about where to find cheap batteries, but what you are looking for are 123a batterys, referred to as CR123's or SF123's or DL123's, depending on brand. The surefire you are looking for is the e2e, it's small enough for easy everyday carry and quite bright. the e1e is slightly smaller but only 1/4 the brightness so you would generally use led lights for that brightness level. some people really like it but the beam is quite tight.
anyways, the e2e puts out 60 lumens for 75 minutes and is a great first surefire. if you dont mind the extra bulk, a 6p or d2 is also a good first light, as you have all sorts of ways to customize it from there. one thing the e2e has or should have soon is the mn02 low output lamp assembly for less light and longer run times.
a good place to buy would be arizona gun runners or texas tactical supply or maybe lagger pro supply.
as far as the arc aaa goes, these two lights serve different needs, with drastically different brightness. in fact, these two lights are almost "standard issue" on candlepowerforums.com, and were you to search you would find a great number of threads on either of them. so basically what i'm saying is get them both so you don't have to waste the e2e or blind yourself on the way to the bathroom.
hope this wasn't too confusing, i wanted to give you a thorough look at both options. If you have questions, by all means post them. By the way, if you want more surefire specific information you can check out their message board at 186thousand.com and there are some great people over at candlepowerforums too. and i should warn you, be careful, once you get into surefire's or lights in general they can be just as addictive as knives and gear!
- Pete