I tried two or three different things out lately, so some results.
I love the Planet Bike Superflash. Only issue is, they're not just especially waterproof. I've heard of people using electrical tape to seal them, but that sounds like a pain. So on a recent ride, I tried putting one in a baggie (snack size baggie, smaller than a sandwich baggie). I wasn't in just a major downpour, but still I got wet through and through and the light kept right on working:
Note that I was able to clip the light on without punching a hole in the baggie.
I have bought a different taillight, the Princeton Tec Swerve. On the last couple of rainy rides, it hasn't gone out, and thus seems to be more waterproof than the Superflash or the Cherrybomb. The switch also allows you to tell for sure it is on, even when you can't see it, unlike the other two. No picture, but the listing is here: http://www.rei.com/product/792655/pr...ear-bike-light
Similar issue, I have used a number of different speedometers in the $15-$60 range, and they all eventually had problems in the rain. So on that ride, I also put a baggie over the speedometer, and the speedomer that went out at 15 miles in the previous rainy ride was still going strong at 200+ miles on this ride.
I've had trouble finding a good helmet light. One irritating thing is most of the them have multiple flash modes and you have to cycle through each mode just to turn it on and off. So I got the Gizmo:
Holding the switch down, it will cycle through a bright/dark cycle and let you adjust brightness. Then you just turn it on and off and it stays at that brightness level. Very handy, and you don't have to cycle through a flash mode each time. It uses 2 AA batteries, not 3, so it's lighter than a lot of these lights. It's billed as "stormproof", not "waterproof", but has held up fine through prolonged, though not heavy, rains on two rides now.
Drawbacks are that it's not made for cycling, so I had to make a velcro strap to hold it on the helmet. And it won't pivot to 90 degrees, so you have to mount it near the front of your helmet, not at the top. But still, it's $20, a great deal. Available at REI.