One more PRO of regulated lights in regards to incandescent: the resistance of a lamp filament changes drastically with temperature. When it is cold (i.e. at turn on) the resistance is very low, and thus there is a surge of current at first, that is much higher than steady state operation. This start up current is hard on the lamp filament, and causes it to fail sooner than it otherwise would. Regulation circuitry can limit this start up current to provide a "soft start". And this means that the filament can be run much closer to tolerance, giving a whiter, higher temperature caracteristic light. The SureFire A2 does exactly this. In fact, as this_is_nascar reported, if you direct drive the A2 LA with 2 123A batteries, you will blow it. Check out this web site for some more stuff:
voltage regulators
I don't see why more incandescent lights aren't regulated. The circuitry is NOT that expensive when made in any kind of quantity, and it adds so many bonuses. I am currently dreaming of making a regulated light using a WA 1185 super bulb.
To my mind, the biggest plus of a regulated light is that there is absolutely no doubt about when to change the batteries! And also that this means you can suck the life out of your batteries without harming your filament. I think that it's unfortunate that all the regulated lights on the market are LED lights except for the SF A2. Ah, well. Maybe I'll start my own company . . . well, I can dream, can't I?