I have not blown any LED lights yet, been trying. There are a few ways to increase the life of your LED lights and as idle stated, heat is the killer.
If you are using 5mm LEDs, get flashlights that don't overdrive them. The top dog of most overdriven is the Streamlight 4AA 7 LED light...those LEDs hum along at 70-80mA for each LED! Considering that white 5mm LEDs don't like much past 20-25mA each, stay away from that one.
The beloved Arc AAA overdrives the LED at 40-45mA which reduces it's life but boosts the output. If that bothers you, the Peak LED Solutions AAA light would suit you. It runs at 23mA for the regular and 30mA for the "high power" version. The good thing about the Arc/Peak is the LED is potted in the curcuit so it dumps heat faster. That cooling effect should help their life.
For me, the 5mm AAA/AA lights are just a stop gap for Luxeon versions. The Arcs will be loaded with lithiums and dumped into an emergency box when the Lux's arrive. Luxeons also need to be kept cool as they generate 1.25 to 5 watts of heat. My BB500 R2H burps along overdriven at 1.6 watts but I have taken steps to cool it down.
Locking the head down with lock-tite allows a better thermal path to the thick aluminum to cool it down. The regulator overdrives it but also keeps it from being waaaay overdriven also. The one on my bicycle helmet has a brass carrier it mounts on and that helps with cooling. The other bonus is the light is being cooling by moving through the air at 13 to 20 MPH so it never overheats.
If I want to run a Lux LED light for a long period of time, the good ole' Mag 2D mod cools the LED very well. In still air, the Lux heatsink is 12F above ambient room temp and that is with the head removed. Can't get much better than that.
One of the good things about building your own mod is the bin code of the LED can be selected. The lower voltage bins generate less heat and if your output bin is high, it will generate more light. My MicroIlluminator single AAA light runs underdriven at 155mA (stock is 350mA) it uses the ultrabright R3J bin to run at a lower voltage (J=3.28-3.50 volts) coupled with the high output of the R bin, it is almost as bright as a "normal" Luxeon but generating almost no heat.
If it makes you feel any better, my overdriven Luxeon minimag has been lighting my way for a year now with no noticable drop in output (compared to my other minimag BB500 R2H) It has gone through about 15 sets of alkalines and I have recharged my NiMH AAs about 5 times.
If you want to get a cool running, small, underdriven Luxeon light with variable brightness (it will run even cooler then) Peak is going to be producing single cell AAA/AA Luxeon lights by the end of the year. No more overdriven 5mm lights, get an underdriven Luxeon and don't worry about it until 2104.