I use a Petzl, Tikka XP 2. It is super bright, has 5 modes and runs on 3 AAA's. It does run around $55.00 but is the best headlamp I have used so far. I sell them in my shop so send me a PM if you have any more questions.
I'll second Petzl Tikka lamps. I have three right now, buy a new one every couple of years as their beams get brighter while the battery life gets longer. I imagine my next headlamp will be a Petzl, too, as I have no complaints and lots of hours in the field using them.
I use 2 different types. The ones I like best are the type that clip to your hat bill. I use 2 or 3 of them. Lots of light and really light weight. If I want lots of light, I use an LED type that straps around my head. They last longer, but are heavier.
I originally bought the Coast 2 pack from Costco for 20 bucks. Then I found them at Home Depot for the same price during the holidays. Great headlamp with wide and zoom dial or color for the early morning hikes. Below is a link, looks like the regular price is $34.97.