They're one of those things that are mindbogglingly useful. They give mortal man the ability to call forth light from the darkness, if in small amounts. And you also almost never have one until you need it. Lawdog's advice on the subject is quite welcome.
He suggests the Photon LED lights. They're great. Small, light, disappear into a pocket, etc. But they're also really expensive at $16 each. And if you've ever opened one, you realize it is just some cheap plastic, an LED, and a battery. That's it. There isn't even any wiring, the LED just has long conducting leads that hook to the battery and are bent to act as a pressure switch. Which is why there are off brand photon lights that are every bit as good and cost a fraction of the original (around ~$5-10). I highly suggest you purchase one of those, because like most tiny things they get lost easily.
One light he doesn't mention are the LED windups I've seen out lately. My car flashlight was a maglite. I replaced it with a smaller, cheaper 5 LED model a while back. I'm not entirely satisfied with it either. Both have the same problem. Trunks go through regular temperature cycles. Hot to cold, All day, every day. Sometimes the temperature changes are worse than the surrounding air because of radiative heat transmission. Batteries don't tend to like thermal cycling so they die quickly. It is very common for me to open my trunk to get out my flashlight for the first time in a while only to discover that the batteries are dead. The wind up models don't have this problem. They run off a capacitor you charge with a small built-in generator. They're pretty cheap (<$15) and the multiple LEDS still give a lot of light. I need to get around to buying one of these.