As Trashcan man said, alot depends on what you'll be using it for. Will you be carrying it around with you? If so, will size be an issue? Is it to be used just for general illumination or for more serious social encounters in conjunction with a defensive firearm?
Personally, I have two older model Surfires that I've carried for years. One is a standard 2 cell (a 6P I believe) and the other is a dedicated shooting light (also a 2 cell). While Surefires are expensive you generally get what you pay for (in my experience). They are bright, well made and stand up to lots of abuse. Batteries are reasonable if you look around and buy in bulk. If you go to Wal mart or any drug store, expect to pay a premium for the 3 volt lithiums. The only drawback to them is that they suck batteries. I have heard that the LED versions give better battery life and are just as bright but I don't have any experience with them.
Due to the battery drain, I use the Surefires only for shooting or as back up lights at work. For general looking around or for when I need a light on for an extended period, I've started using a Pelican Model 2360. It runs on AA batteries and is probably the brightest factory AA light I've ever used. I just stared using it at work so only time will tell if it will last. If it handles the abuse I'm cabable of dishing out, it'll be a winner and I'll get a few more. I also picked up a Pelican 3330 LED (2 3 volt lithiums) which is a basic polymer light with a push button end cap. So far, it's working well but does get hot with extended use (anything longer then 10 - 15 minutes). Botach has them on sale for $20 so I figured I'd live one a try
The PD issues rechargable Stingers which are pretty good all around lights but even if you charge them religiously, they always seem to die when you need them. Sometimes it's easier to just drop fresh batteries into a regular light.
As a cop, I carry 3 or 4 lights on me at work. One is a dedicated weapons mounted light, one is a back up shooting light, one is a general use light and one is a micro light for finding stuff in the car. For this, I'm currently using a Maratec AAA which, so far, is working out great. Off duty, I generally carry one of the Surefires and a small pocket light. For pocket or keyring lights, I have two of the Gerber Infinity lights (both are one cell AA) with are about as basic as they come but have served me well over the years. The Maratec is rapidly finding a place in my heart though.
Candlepower forums is a good place to go as those guys live, eat and sleep flashlights and you'll learn more then you really wanted to about lumens and candlepower
I've tried a couple of the chinese knock offs that you see on ebay and while they worked ok for a short time, they usually stopped after the first time I dropped them so I gave up on them. What you save in money you'll pay for in aggravation.
On a safety note, I did have one of Surefires blow up on me a few months back. I have to admit breaking a cardinal rule and mixing battery brands. Luckily for me, it was at night and the light was on the dresser. The batteries shorted out and it exploded with such force that it vaporized the plexiglass lens and the case got way too hot to touch. I shudder to think what would have happened if it had been in my pocket or on my gear when it went critical mass. I now stick with good brand name batteries and don't mix and match but it's always in the back of my mind