I've used both headlamps and hand flashlights - I've found that the headlamps give you a bit more battery life.
Here's a good hand flashlight, very small/light, but battery life isn't the best. Since it has a thumb button switch, I usually just thumb it on when a car is approaching. LIght enough and thin enough to wrap your hand around.
http://www.streamlight.com/product/product.aspx?pid=144
As for headlamps, I've had good luck with the Petzl Tikka plus 2. I've used PrincetonTec's but had two of them break on me, bad design. I've used cheapo's like the Eveready models that you get at Walmart, which actually worked well and weren't as much $$.
http://www.petzl.com/us/outdoor/headlamps/tikka2-/-zipka2-series/tikka-plus