Lithiums have very low internal resistance and keep their voltage relatively flat until they're about empty. The mAH rating for alkalines is based on very low current drain, like in a quartz clock or pocket radio. At higher current, like in a powerful flashlight, you get a fraction of that mAH. With lithiums, you get pretty much what it says, even at high current. At medium current (like in a 5mm LED light, say a CMG Ultra), lithium does a bit better than alkaline but its main advantage is cold weather performance and long shelf life.
At high current drain and when cold weather and shelf life aren't too much of an issue, NiMH (rechargeable) is the best bet. It will outperform alkaline substantially and it has by far the lowest operating cost, and is the most environmentally friendly.
