In reply to The Patriot:
Id recommend any of the Alpkit ones - inexpensive and lots of features to choose from, Im currently using the Alpkit Arc which is a bit heavier but has good lighting which I use for rough terrain at night.
Previously I have had -
Petzl Tikka - light cheap and solid, but not very bright, good for easy paths and lanes.
Alpkit Gamma - loads of features and very hand rear red light for on roads etc, not very robust though.
Alpkit manta - hated this as the battery was in the front and it bounced around a lot.
LED lenser - lightweight and bright, decent value but not very good beam spread, and few features
Petzl Myo 3 - this was a halogen bulb version a while back and although it had a lot of good features and was comfortable, I wouldnt go back to regular bulbs again, LED are much more versatile.
Handheld torch - I wouldnt bother with this for any serious running.