Budget? Do you have a holster already, or looking to buy one with the light? Opposed to pocket carry with a clip?
I have the new generation mag solitaire LED I sometimes clip on my keychain. Blows a regular mini mag, and even most standard mini mag LED conversions out of the water. 37 Lumens.
I have a Nitecore EC1 I carry almost daily. Extremely small light, but packs a HUGE punch, 330 Lumens. Multiple brightness levels to choose from to conserve battery life. Takes up less room than a small pocket knife in your pocket. Could easily clip to your belt or in a small pouch.
http://www.nitecore.com/productDetail.aspx?id=24
I also have the EC2 version of that one, stays clipped to the visor of my truck. Same diameter, longer, more batter life, a little brighter 410 Lumens.
http://www.nitecore.com/productDetail.aspx?id=25
They make a AA version, EA2 that is similar in size to a Mini Mag, and should fit the same holsters. 320 Lumens
http://www.nitecore.com/productDetail.aspx?id=23
Sometimes I swap out the EC1 in my pocket for a Coast/LED Lenser P4BM. Comes with a holster, love this light, the most crisp beam I've seen, zero artifacts in the beam so it's great for looking at little details 18 lumens.
http://www.brightguy.com/LED+Lenser/LED+Lenser+Penlight+P4BM
This is probably the best bang for the buck light I have, the Fordex/Ultrafire 300Lumen (very inflated, but still impressive). They ship from China, (might find a US distributor), but for $3.50 shipped FROM CHINA! it's hard to beat. Buy several at one time, keep them in vehicles, give to friends/family etc. I have one of these clipped to both fire helmets, one in each set of gear, one in each vehicle's glove compartment, etc. Zoomable, Brightness and beam rival that of a $50 flashlight. Quality is OK, I haven't had one break even in extreme conditions (fire, banging around, soaked with water), but they do feel a little cheap. I keep several around as backups at their price.
http://www.amazon.com/dp/B00828MZ3W/?tag=atomicindus08-20
http://www.amazon.com/dp/B006E0QAFY/?tag=atomicindus08-20
Pretty much any of the above can fit in a small leather holster, just remove their clip if needed.
Another light I really like is my Streamlight Stinger with Terralux LED conversion. It's rechargeable, this one stays on my workbench charged up and ready to go. Very bright, nice pattern, 300lumens, good battery life, very durable. Not cheap.