In my opinion, the simpler the better. The less often I have to click, the happier I am.
Take the Zebralight interface. It's pretty well thought out although not perfect. From off, you can access all three modes easily: click for high, double click for mid, and hold-click for low. You can click it again from on to turn it off.
Then there's the lower end models from Princeton Tec (Byte) and Mammut (S-Flex). These are annoying: you must click repeatedly to get to the mode you want. On the S-Flex you click twice for on, then click again for brighter, then again for red and again for blink. To turn off, you must click through all the modes.
I was going to write more, but then I got bored. Someone else can fill in the gaps.