When I think "key chain" light, I think of something like this
http://www.dealextreme.com/details.dx/sku.1253
.47 cents, and surprisingly bright! (22,000mcd). Not your typical keychain led (10,000-12,000mcd).
But then I'm cheap and don't like carrying things in my pocket, so you can see why I'd choose this over a regular "flashlight".
Have 'em on every keychain, in the cars, in nightstands and dotted around the house.
Lose one, break one.....who cares, it was .47 cents. I'd be too worried all the time about a $60-70 light in my pocket (but again I'm CHEAP! LOL!).
Obviously not what the OP had in mind, but others may find them useful, so I thought I'd add it.