My first headlamp was a Streamlight Septor, with 7 5mm leds. A fair amount of light but little throw. Since I wanted to use a headlamp for mountain biking [riding home after being out too long, not full blown night riding] and night time XC Skiing, I needed somthing w more throw. A look on Flashlight Reviews [thanks again Quickbeam] led me to the Princeton Tec Yukon HL, which uses 3 AAs. I has a one watt Luxeon, and three 5mm for power save mode. The PT Yukon is the one w a Xenon instead of a Luxeon, and I have no experience with that.
More recently, I got a Favorlight 3W which runs on 2 CR123s, because it also has very good throw for a headlamp. I have now used both for skiing, riding, backpacking, camping and caving, and my favorite is the Yukon HL. I've used it with alkalines and w lithium AAs.
I feel that the Yukon HL is better built and more rugged, tho luckily I haven't had any issues w either of them. The Yukon HL running the Lux and the Favorlight on High [it has three levels] are similar. One advantage the Favorlight has is regulation, although I do not like the way it will just cut out completly when the batteries can no longer deliver the required current for a selected light level [no fun when going downhill or caving], although you can click the switch a few times to get to a lower light level.
The only nit-picks w the PT Yukon HL are: it is not well regulated and the switch is hard to operate w gloves on.