14500 li-ion batteries are roughly the same size as AA. 10440 are about the size of AAA. As others have pointed out the voltages are quite a bit higher. The available current is also lower than high-end nimh. You wind up getting about the same amount of watts from either (2600ma * 1.2v = 3.120 watts vs 900ma * 3.7v = 3.330 watts). And you pay a lot more for them.
If your ni-mh batteries get cold, stick them in your pocket. Seems cheaper.
Here's a couple of examples:
http://www.dealextreme.com/details.dx/sku.3435
http://www.dealextreme.com/details.dx/sku.974
M