Though made more for a keychain, the itp A2 is a good light. It costs 20 bucks which is about as cheap as it gets. It uses a twisty with 3 brightness levels: 1.5 lumens, 18 lumens, and 80 lumens. These are nicely spaced levels.
Twisty is nice because it wont come on accidently, plus the light itself is very small which can be good and bad.
Romisen makes some good 1xAA lights with 2 modes, but they typically have a High and Higher level, and not really a good Low.