The Photon lights use Lithium coin cells.
Photon 3s are waterproof because of the membrane swtich. Of course, that switch, I have heard, introduces other issues. Anyone have updates on their P3s? Have improvements been made?
Photon IIs are not waterproof, but given I live in a desert, its pretty easy most of the time to avoid problems of that nature. I really think the Photon II is the ultimate smallest sized production single LED on the market today. For the purpose of having some form of light on you anywhere you go, it just can't be beat.
The Arc AAA lights are great, they're just not as convenient as the Photons because of their obviously larger size.
A great light that may or may not also fit your idea (not for me) of a keychain LED is the CMG Infinity Ultra. You get the longer runtime of the AA battery at the expense of a thicker body.
Choices, choices...