First thing's first... you know if you put a 3 cell Krypton (not Xenon) bulb in your 4D Mag, it will make it at least twice as bright... but the bulb won't last much longer than the cells. Still, very impressive, very cheap mod... $2.
For something similar, but smaller and brighter, buy a 2C Maglite, replace the bulb with a KPR112 or KPR113 bulb available at Radio Shack, Lowes, The Home Depot etc... Now, buy at least 3 CR123a cells. Next, get a piece of rubber hose about 3/4" in diameter and cut it to be just a bit shorter than the three CR123A cells. Put the hose in the body of the light and put the cells inside the hose. Very impressively bright light. Runs for about an hour. Hints: the batteries are available for $1 each at
http://www.batterystation.com/cpf.htm Buy several, you'll eventually need them for this or other lights.
To make the beam much smoother and to get a seemingly larger hotspot, try sputtering the reflector... do a search for sputter or sputtered. All you need is $1 clear acrylic spray paint and about 10 minutes. You can do this to your Mag 4D as well. You will trade away about 10% of throw, but gain a radically smoother beam.
For something impressive and even smaller, pick up a Princeton Tec Tec40 and try replacing the bulb with a 3 cell bulb. It's a 4 cell light so with the overdriven bulb, it will wow your friends.
For larger LED lights, I personally prefer the Dorcy 1W to the LEDBeam 3W as the beam is wider and more useful. And you get like a day of runtime! But the LEDBeam throws further. Cost is similar but the Dorcy is much cheaper to feed and again, I think the Dorcy is a better general purpose light.
For small lights, the Fenix and the Q3 are the hot budget tickets. They are about the same if you use a primary (not rechargeable) CR123A in the Q3 but if you use a rechargeable LiON cell in the Q3, it becomes even more impressive.
In all honestly, none of the stock lights I've listed here are going to be brighter than the 4D Mag on fresh cells. But improvements can be made in beam quality and the ability to throw a wider, more even beam whereas the Mag is really only borderline acceptable when focused to its tightest position.