Well first off i say go LED, last forever, pretty much immune to bumps and shock, only downside is that the light coming out the front tends to be whiter than normal bulbs.
Second I say go for a regulated light, this means that the amount of light coming out the front will be fairly constant until right at the end when the battery dies, as opposed to a normal light when the amount of light starts to drop off as soon as the battery goes in and then gets less and less as the battery gets weaker.
Thirdly is batteru considerations, AA, AAA, Cr123 rechargable etc etc.
AA is probably the most common and cheap batterty around, sold eveywhere in every country, so if you travel overseas this is a good bet, of course the downside is that the amoubnt of current out of one or two is not that much (8 on the otherhand is very powerful).
I personally go for CR123R, these are smaller than AA length, a bit fatter but more powerful, I also go for rechargables, more of an outlay initially but free light afterwards, combine with LED you can go for years with no more money needed!
finally brand and model: Surefire is very popular but expensive, Fenix is a lot cheaper but OK, Nitecore popular, personally I use a Novatec 120P, which is a small, one battery light that has a variable, progarammable output, is waterproof to 66 feet, is stong tough and works a treat, you may spend slightly more for one but they are wonderful!