Great to see others from Australia too!.
In Sydney, there are very few places to purchase quality lights. However, i agree, it's pretty expensive at Gowings and Kings of Knives, and limited to mainly incandescent lights. I prefer to buy online where possible (CFP dealers, and Ebay), even factoring in shipping, it's generally better.
For luxeon lights, i have seen them at Jaycar electronics, and also a stand in Paddy's market in Haymarket. The ones they stock are no name brands, so i don't know about the quality.
Haz