The exact definition varies, but typically these are offbrand lights made in China and sold by direct shippers like DealExtreme, Manafont, and KaiDomain. The category can also include lights from retail stores, though this page relates to Chinese lights.
Quality varies greatly, sometimes being surprisingly good, but often mediocre or poor. There seems to be little accountability by the companies that manufacture the lights with many similar lights showing up under different, but similar, brandnames like UltraFire, TrustFire, and UniqueFire that even share logos. Even lights with brand names like UltraFire are probably knockoffs, so the brand name may be meaningless.
Cool tint colors for LEDs are commonplace and neutral or warm colors are rare. HA III hard anodizing is hard to find. Some might have Type II anodizing, if that, and therefore these lights show wear much faster than name brand lights. Regulation of the light output is usually not that great with steadily declining output as the batteries charge down.
The retailers websites often post incorrect information about lights and change features around without notice. In particular, ratings of lumens and runtimes are often greatly exaggerated. Descriptions might claim hard anodizing and coated lenses when this is not the case. Fakes are not uncommon. User reviews can help establish some features, but because the models and suppliers change, even those reviews may not be accurate.
Shipping is usually included in the price and can take weeks or even months. Before Christmas and at Chinese New Year, shipping times will be at least a month even if the merchandise is in stock (if items are not in stock it can be months or more before items are back in stock).
Poor Customer Service
The retailers themselves have generally poor customer service, frequently not answering inquiries and getting orders wrong or delivering lights that are "dead on arrival." Because most of the transactions are paid through PayPal, the buyer has recourse and as long as you are patient (not too patient! PayPal will do nothing after 45 days from the date of sale). Store credits or replacements are often issued to resolve problems after a user follows all of the required steps. Patience is rewarded.
No Resale Value
It is difficult to sell used budget lights. More expensive lights hold their value much better and the cost to ship tan expensive light does not represent as big a part of the cost.
Subject to Derision
Due to the number of problems, there can be derision on CandlePowerForums regarding budget lights, even with discussion limited their Budget Lights Subforum. People who pay good money to get lights that work right out of the box (most budget lights are just wrapped in bubblewrap and shipped in a padded envelope) do not want to hear the woes of people with defective or troublesome merchandise. However, there is a wealth of information and sympathy at Budget Light Forum.
With those caveats above, some of the lights represent a great value, often a third of the price of a name brand light featuring the same LED. The lights are often made of aluminum, feature o-rings at the joints for water integrity, have glass lenses, and most have aluminum reflectors. Although they often require some tweaking upon receipt for them to work correctly, one advantage is that many of these lights can be easily taken apart and modified. To get a good light, read the reviews on the retailers websites and everything you can find out at Budget Light Forum and even CPF. Read up on the sellers too by checking out BLF's section on Budget Dealers.