Blackburn 2'Fer. Best value I've found in a small versatile light.

As the demo video shows it can be used without the included mount, which is bulky compared with the light itself. A simple Velcro strap would do as well and save some space. The light itself will fit in almost any pocket.

I've even been stopped by shoppers in the grocery store parking lot to ask where they could get one for walks around their neighborhood, because it's versatile enough to clip anywhere, can warn traffic behind them and serve as a reasonably good steady white light to see ahead at the typical slow pace of pedestrians and joggers. I've ridden my bike at night with only the 2'Fer on steady white to see by and it's just barely adequate if I kept my speed around 10 mph or slower. Plenty bright enough to light up reflective objects -- license plates, street lane reflectors, signs, etc. -- which helps a lot with navigation in the dark. But not an ideal headlight for most cyclists.