I am not a fan of weapons lights. They to often are used for search lights when there is not a lethal threat. I work much better with a fighting light in coordination with my weapon. Of course this doesn't count for long guns.
I carry a Stinger XT, tail cap model. Nice light, rechargeable and bright. Used to carry an original stinger, I liked it better, just not a huge fan of the tail cap switch. Also have a rechargeable Mag light available if I need it.
My new dept does not allow weapon mounted lights... but I carried a M3 w. my last and loved it. But different strikes for different folks!
I also have a Scorpion and it works great (especially for around $35). I'm not in law enforcement so I just keep it in the nightstand but when I need one it fits nicely in my pocket. I have a Glock light for under my G20 but it's a heck of a light (just as bright as my scorpion) and is very small. I saw them on sale in a Jerry's Sport Center catalog for less than $70 and they will fit most all of the rails on handguns. Pretty good deal.
I keep my Scorpion by the bed, but I also picked up a Brinkman for $19.95 at Wal-Mart - it is nearly the same as the scorpion. Just a tiny, tint bit less bright. I keep it by the kitchen window, and I use it when I have to go around the yard for something at night. That way I can see where the stepping stones are and look out for snakes/spiders/mice. And, I use it when I go up into my attic. It's a great value for the $