Bicycle shops sell clip on lights with red LEDs. You can set them to flash, or be continuous. If you want to be seen, these are hard to beat.

Examples of what I'm talking about:

http://buysportsfitnessequipment.com/natha...ety-strobe.html

http://www.flashingpanda.com/Item.asp?id=295

 

I have a Husky plug in that is super bright and even has a little tail light so people behind you can see it. It is a plug-in rechargeable.

 

My surefire is great but it uses 2 of those lithium 123 camera batteries. Ok life for me but what sux is each battery is ~$3. At $6 a replacement, i get mad when it doesn't turn on.
My LED Streamlight is sweet, though I wish they used better battery technology.

Streamlight Stinger

I got mine with an extra battery and piggyback charger -- model 75732.

Like this one but got a way better deal on it through amazon at the time.

 

I usually order batteries through http://www.lighthound.com/, usually around 1.50 or less for them.

 

I use one of these:

http://www.amazon.com/Blackhawk-Gladius-Ma...t/dp/B000VGQJMQ

I have had it for about 3 years and it is still good as new. Very durable. It takes two lithium batteries though which can get expensive if you were going to have it on for long periods of time while walking.

If you don't mind the cost, the newer 5.11 flashlights are rechargable and bright as heck. The cool thing is they don't use batteries. They have a capacitor instead which makes it super light and it gets a full recharge in 90 seconds! If I were in the market for a new light now, I'd probably get the smaller version of this one:

http://www.lapolicegear.com/511-tactical-u...flashlight.html

Why don't you get one of those small flashing strobe light jackets that I see runners using at night. You can see those things from a mile away:

http://www.stridelite.com/

 

I use small (around 4-5"), inexpensive, LED ones. They're a couple bucks each, and if I lose them, or break them, I buy new ones. I bought a pack of 3 for $15 and they still work and are bright enough.

I also have a wind-up one for camping.

--kC

 

I just bought a Rayovac Remington High Performance LED Tactical Flashlight a few weeks back. Its really nice. Works great and uses photocell batteries. I use the thing all the time and its still going strong on the first set of batteries. The belt clip is awesome for walking the dog.
It has high/low/strobe setting.

http://www.amazon.com/Rayovac-RM2AA-B-Remi...89701919&sr=8-2

 

A reflective safety vest would be a wise investment too. Typically less than $10.

 

any ideas how much better the new mag led lights are over the standar mag lights (3d)

 

Jeff not sure if your interested, found this https://www.order-gear.com/Gladius-CREEmato...-Upgrade_11226/, I'm thinking about sending mine.