For what purpose do you need these lights?
1. Touring/camping/being seen
If your intent is to tour and camp, probably LED white lights are best because of their long life and low temperatures (safe to take these into a tent). In addition, these lights provide enough light that car drivers can see you.
2. Commuting and seeing the road
Now I can wear my geek hat!
For commuting, typically bright light is needed. Here is a forum thread that is 47 pages long on building your own bike lights (many home built systems are displayed here -- interesting to view what others have done):
Building these lights are easy to do. Really.
Just two days ago I built my second set of lights for my commuting bike. The light consisted of
1. $3 rubber flashlight from Big Lots
2. $3.50 20 watt halogen MR16 spot light from Lowes ($10 for package of 3 of these)
3. $7 electrical wire from Ag-supply
4. $6 yellow LED light from Ag-supply (mounted under down tube so cars can see me from side)
5. $6 red LED light from Ag-supply (mounted on rear rack, very bright)
6. $15 12 volt, 7ah sealed lead acid (SLA) battery (heavy, about 7 pounds, but you can get more expensive light-weight batteries if needed. I don't mind heavy stuff on my commuter. The 7ah battery will give me about 2+ hours of run time). Radio shack
7. $2 switch from Lowes
8. $5 wire connectors of various kinds from Lowes
9. $15 low level charger for battery --Radio shack
10. $7 camera case used to mount SLA battery on front rack of bike, from Big Lots
Total price: $69.5 + tax and time (although as a geek project, spending time on this is the fun part).
I was testing this system tonight when I caught my wife driving home and she stopped to tell me I should angle my headlight down since it blinded her. A 20w halogen is very bright, especially a spot light (I should have used a semi-spot with some flood for better side lighting).
With previous cheap lights I have used (Cateye LED lights), oncoming headlights from cars would washout my light and I was unable to see where I was going -- literally, I could not see the side of the road. However, with this homemade light, oncoming headlights do not wash out my light and I can see road shoulders. In fact, before I angled the light down more to heed my wife's advice, I could see trees over 200 yards away
If you decide to build your own, keep in mind halogen lights run very hot. A 20 w halogen reaches 100c (about 212 degrees F). It runs fine in the flashlight body I used, but I drilled holes in bottom and sides to allow air to circulate.
If you are not interested in building your own, you can find some halogen lighting systems for under $100, but these generally don't have side or tail lights with them. For example:
I can assure you, though, that for less than $100, you can build a lighting system that will put out as much light (or more) as $400-$600 light systems. The difference will be weight (mine weights about 9 pounds total due to the SLA battery), sleek mounting system (I used cable ties and old peddle clip laces), and name prestige.
With my previous home built lighting system, I had two 20w halogens, one was spot and the other flood. When both were on (40w total), my bike lights were similar to motorcycle headlights, and were close to the brightness of car lights. One could easily ride fast on trails with these lights because the area was so well lit.