I'm with you on the light from WalMart. I used to just bring a little Micro Mag or a Photon for the odd short walk in the dark. Then, on a trip from Franklin NC to Hiawassee, GA, we had intended to stay at the Plum Orchard Shelter. Problem was, a Boy Scout troup had the same idea, and we didn't want a noisy camp. It was several more miles before we found a spot to hang our Hennessees.
I carry about a foot of waterproof medical tape wrapped around each of my hiking sticks (these are WalMart, too. My brother in law stuck one in some rocks and stripped over it once. We laughed, he gave me $20 and I replaced it). I tore off a couple of inches and taped my Photon light to my temple. Yup, worked great. It was always pointed right where I was looking. And you know what I found? I really like night hiking. So I bought the WalMart special. It may not be the lightest or have the longest batter life out there, but it works well, the batteries are cheap, and if it breaks I can throw it away and just buy another one without having to adjust my budget. I'm not interested in spending 10x the money to drop an ounce of weight.