Try the battery sub-forum for all battery related questions.
A short answer here though,
CR123 was refined and used as a power source by Surefire since they have higher energy density and higher voltage than a conventional AA cell. This was great for small, incan lights. many Police and Military departments used them, and it sort of became a standard. With large supplies of these cells, and the big contract holders continuing to use them in their lights, the CR123 cell won't be retired any time soon.
Even with LED, there is a good case for using them in lights, but for every reason for using them, there is an equally good reason to use AA cells.
For someone new to lights, pick a format and stick with it for the start at least. If you choose the CR123 route, you may or may not be able to use rechargeable cells, or different sized cells. For example, Malkoff MD2, you could also get an MD3 or MD4 body. Assuming all these bodies you could use 1, 2, or 3 CR123 cells, 2x 16340, 2x18350, 2x 17500, 2x18650, 2x 17670's... many more combinations... however a Surefire light, may only take 2x CR123 only.
Availability is higher and therefore cheaper for AA, AAA etc, but CR123's you can also get pretty cheap online