If you want to go for 5mm LEDs, I'd recommend buying the coincell lights from
Dealextreme, and dropping in more efficient LEDs from
here.
Left - White JELED
Center - Stock DX "White" (looks very blue)
Right - Red JELED with 2032 battery from DX (should have over double the runtime of the others)
You'll have to buy several, but each modified light will end up costing you under a dollar -- I have three on my keychain (all of the ones pictured except the stock DX) though and they've turned out to be quite useful. Here are a few photos from the ones on my keychain:
Left - White JELED
Center - Stock DX White (looks very blue)
Right - Red JELED with 2032 battery (should have about double the runtime of the others)
"Whitewall" beamshots from each -- the white ones appear much brighter in reality (the above appears more lifelike)
This is one of the 5mm LEDs where I sanded down the "dome" completely flat using 600 grit sandpaper, it produces an even flood beam which is great for reading in the dark: