Photons are great because they're inexpensive and small. I feel that everyone should have at least a Photon with them.
However, if you plan on using it a lot, I'd go with something more substantial with "proper" batteries. Arc AAA-P comes to mind. It runs just fine on alkaline AAAs, and you don't have to mess around with expensive coin cells, or buying them bulk (much cheaper) on ebay. It's still small enough to be unnoticed on your keychain, but I feel its larger size makes it more usable. An Arc will take care of pretty much any incidental every-day lighting need that might arise, without needing a bigger brighter light. Of course, having a bigger brighter light is a good idea too, but unless you're doing something every day that would need a dedicated light (walking the dog at night, inspecting buildings, etc), you can keep that one in the glovebox, backpack, etc.
I personally prefer CR2 based keychain lights (Jil Intelli, CR2 Ion, etc), since this form factor gives you more to work with in terms of features, but CR2 lights are also generally more expensive.