Howdy Rees and welcome to CPF,
Better to save your money, spend some researching lights here on CPF, and then buy a light you'll be really happy with for a while.
Having said that, the best thing to try would be to clean your new light thoroughly, especially the positive battery contact in the head and the negative battery contact in the tail cap, usually a tail cap spring.
Electrical contact cleaner is best for this, available at any Radio Shack or electrical supply shop, however, in a pinch you can also use isopropyl alcohol (the rubbing alcohol most of us have in our medicine chest).
The best way to do it is to apply a small amount of the cleaner onto a clean, soft rag and use that to clean the contact points. You don't want the cleaner to drip down inside the head, so hold it with the LED pointing up. If the battery tube is such that you can't reach up inside to get to the positive battery contact, it's perfectly acceptable to use a Q-tip. Just spray the electrical cleaner on the Q-tip and put it up in there and swab the contact.
Also, when cleaning the tail cap spring, if you can take it out, then clean both ends of the spring and also where the spring makes contact with the tail cap, then reassemble and make sure it's making good contact.
While your at it, clean both ends of each battery you're using.
After this, put the flashlight back together and see if that helped. If not, try new batteries. If that doesn't help, you might clean and re-lube the threads as well, as they are also usually part of the electrical path.
Use the Google Search Box at the top left of most CPF pages, leaving it check marked "CPF Only" and enter "flashlight cleaning" for further threads about how to clean and lube your flashlight.
By the way, if you are thinking about getting some 18650 rechargeable batteries, you should learn the safety precautions needed for using and handling them. Here's a good place for that:
Battery University:
http://batteryuniversity.com/
And here are some fine
flashlight review sites to get you started on the road to a quality flashlight:
http://www.light-reviews.com/reviews.html
http://www.flashlightreviews.ca
http://www.lygte-info.dk/review/Reviews UK.html