first off what do you define as cheap?
I started with a $50 Drop in Luxeon and got possessed into makling a $200+ Quad luxeon light.
as far as cheap goes, i'd recommend the ROP mod, or Roar Of the Pelican. using a 24W Pelican bulb ($10) and one of Modamag's Aluminum Reflectors ($30), and a Borafloat glass lens ($10) you will have ane eye melting cannon. oh yeah get some good Ni-Mh D cells too. Energizers are poo. Powerizer is good. and can be found on eBay.