I do. One upside to alkaline is that you know the batteries are getting weak. With lithium, they will run until they are dead and then die all of a sudden. I like knowing that I need to replace the batteries before they are completely dead while I'm on a ride.

Lithium do have much better resistance to cold though and weigh half as much (.5oz AA lithium vs 1oz AA alkaline) and they last longer than alkaline. Lithiums are about twice the price and harder to find.