Eveready now makes a good cheap LED headlamp. It is called "Energizer® LED Head Beam" and the model number is HD33A1EN. (The model number is on the back of the package in tiny print.) There is a picture at http://www.eveready.com/products/flashlights/flashlight.asp?cat=4&id=3m .
The headlamp has two white LED and one red LED. The red LED is designed for "night vision" according to Eveready.
It comes with three AAA Eveready Energizer batteries. Claimed battery life is 50 hours.
Operation is simple. The switch has three settings. Center is off. Left is red. Right is white. No strobe, morse code, or UFO signaling modes.
The two white LED working together create about as much light as an AA Maglite flashlight. The red LED is about 1/2 as bright as a AA Maglite. The two white LED have the usual bluish tinge. Beam width is moderate (about the same as the tightest focus of AA Maglite). The Eveready HD33A1EN has the typical LED mostly-even brightness pattern.
The headlamp tilts so that you can adjust it for close work or to avoid blinding your companions.
It is not waterproof but would probably be OK in light rain. Cover it with Saran wrap or a Ziploc bag for heavy rain.
If you have a fat head then you should buy something else. The stretchy headband doesn't adjust very big. I wear a size 7&3/8 hat and the band was most comfortable when set to its maximum length.
The back of the lamp is only lightly padded. It is much more comfortable if you wear it over a baseball cap. (For maximum political-incorrectness be sure to use an NRA cap.)
I was going to complain about it using AAA instead of AA batteries, which cost the same and last twice as long. But it is plenty heavy with the three AAA installed. It would be too heavy with three AA.
Overall construction is simple and cheap but it works. The battery compartment opens with a coin and is clearly marked. Three tiny Philips screws hold together the switch/LED assembly.
Highly recommended. Buy one for your bugout bag and backpack if you don't already have a headlamp. These are also good for night-time car repairs.
These headlamps cost $12.77 each at Walmart as of 3 March 2004. The Walmart display claimed that these were a "New" item so your local Walmart might not have them yet.