The cheapest and simplest ones are coin cell "Fauxton" (fake Photon) keychain lights. There's just a pair of coin cells and a LED, nothing more, but they produce plenty of light for several hours, and usable but dim light for dozens of hours more. They are under 50 cents each including shipping in bags of 10 from dealextreme.com or kaidomain.com -- you should buy a bag or two of them and have yourself, your friends and family carry one on their keys at all times, and stash away a few spares.
Next step up is maybe the Countycomm SOLED lights: again cheap coin cell lights, but with a nifty metal clip that lets you attach them to a baseball cap for use as a handsfree light. This is more useful than most people imagine. They're $1.75 but you have to pay shipping:
http://countycomm.com/ARES SOLED.htm
After that I'd go for a 3AA 4-led light, as I've seen in the $5 range at Walgreens and hardware stores recently. Those are plenty bright for household use and last practically forever on a set of batteries.
Heck, PM me your address and I'll send you a Fauxton since you're new here.