Yea, there are sooo many different options out there. I picked up a Fenix L2D a while ago and really like it. Has several different output levels along with a "strobe" mode. Took it with me to Jamaica over the summer b/c where we stayed involved walking everywhere, and having it at night was invaluable. It's not too expensive, think they run about $50 now.
I also picked up just a small/cheap Energizer 1W LED light I saw at target (I think it's the "metal tactical model". Probably close to 4" long, all metal, and has a built in clip. Only has one power level but it has momentary on/off as well as constant on "modes". Just got it to be a small light I can toss around and throw in my pocket if needed.
But yeah, I was surprised at some of the prices out there as well.