I have to hump a lot of crap out in the woods when I'm on a trail, but I like having my stuff with me. I just got back in the last week from a two night outing, and here's what I took with me...
Standard Mini-Mag Lite (AA model) with red filter.
Princeton Tec (I think) Matrix---LED light that's waterproff, takes two AA (I use lithium), and has three turquoise LED bulbs. After reading quite a bit, I found that the turquoise bulbs tend to generate more light.
I have a Photon keyring light that I keep as a little back up.
I carry at least three Cyalume sticks of several colors including green, blue, red, orange, and high intensity orange (5 minute burn time). I have the different colors for different situations with the groups that I go with.
A great light that I use quite a bit is the PAL survival light. It works off of 9 volt battery. It has a constant on mode which makes it easy to find in the dark (think about inside the tent when you've got to make a run for the woods), and it also has a low mode, high mode, and a signal mode. It's a winner in my eyes. It's compact and just slightly thicker in dimensions than maybe a standard Bic lighter.
I have an LED flashlight that is my absolute favorite. It's a Tektite Expedition 1900. It is about the same size as a standard 2 C cell flashlight, but it has 19 LED's built in and it puts out a great light while still getting significantly longer burn time than with standard bulbs. My understanding is that it is waterproof to 2000 feet (what am I going to do with that?). It was a little pricey, and it doesn't feel like there's much to it when you pick it up, but I love it.
That's what I had with me last time, and that's what I usually carry give or take one.
Just my thoughts on what I think works. Of course, around the house or town, I usually carry my Sure-Fire light, with one of the above as a back up, but I have access to batteries around here. When I'm on the trail, I'm looking for adequate light with extensive burn time. LEDs are the way to go!!