Here are some ideas
For CCW? I like the Surefire 3P. It puts out quite a powerful beam.
If I'm carrying my Glock 26 rig, I put the 3P in a Mitch Rosen Speir Off-Side, which is a leather combo mag/flashlight carrier:
http://www.mitchrosen.com/product_line/product_line.html
Blade-Tech makes a similar, less-expensive rig out of Kydex. Check out their Web site.
If I'm carrying a J-frame in a pocket holster, the 3P is small enough and light enough to simply slip in a pocket ... coat, jeans, pants ... the 3P is comfortable in all of those. Clip on the Spyderco Delica, stash some pepperspray and good to go.
I like small, lightweight and powerful -- can you tell?
I have a Surefire 6Z in the lockbox at home next to my Glock 35 pistol. Both of these necessary items of survival/rescue equipment are bigger, more powerful and heavier -- since I don't have to tote them around hidden on my person for hours at a time.
BTW, the 6Z's rubber rings really aid in gripping, whether using my preferred "cigar" grip, aka Surefire-Rogers technique, or the under-the-shooting-hand Harries grip.
This is what works for me. Hope it helps, or at least gives you some ideas or considerations.