Quick picks
If you don't want to wade through a bunch recommendation and learn about flashlights, here are some quick recommendations for decent flashlights in different sizes. All of these lights use normal alkaline or NiMH batteries and all are LED lights because of the reliability and runtime. The first light is a higher end light followed by a budget alternative.
Keychain Light
iTP A3 EOS 1xAAA light with twisty switch. Available in different colors and as a 3-mode or a simple 1-mode. This is just a very well-made compact light. It is available from a number of dealers, but GoingGear is as good a place as any.
Tank007 TK-703 1xAAA 1-mode light with a tail clicky. DealExtreme $11 shipped.
Keychain 10-pack Never run out of lights. Just a simple keychain light, but for $4.47 you get 10 of them so you can give them away and will never run out. Plenty of light to see where you are walking or light up your door when you get your keys out. Available at DealExtreme in black, but if you look around you can find lots of other colors.
Pocket Light
Quark AA 1xAA 8-mode light with a tail clicky. Quarks come in all shapes and sizes so if you want a different battery or a programmable light (their tactical version), just look around. 4Sevens $51.30.
Eastward YJ J09 1xAA 3- or 4-mode light with the same LED as the Quark above. DealExtreme $19.80. Probably needs NiMH or Lithium batteries; alkalines won't give enough power.