OK, folks, here comes the second-rate gear experiment geek again. Hide the children and small pets.
During the rather cold Boulder, CO winter of 2004 I decided to once and for all figure out the relative efficiencies of flashlights/headlamps, various batteries, and temperatures. I tested 9 or 10 different Princeton Tec lights, 4 different bulb types (LED, xenon, halogen, and basic krypton), and 3 battery types (NiMH, alkaline and lithium). I loaded the lights with the batteries, and then turned them on and let them run until they ran out of power. I did this at room temperature (~70*F), ~32*F on the patio, and ~0*F on the patio. I recorded everything on a spreadsheet.
The results were about what one would expect:
Alkaline batteries don't function very well below 32*F, and they become nearly useless at 0*F. NiMH cells do better in the cold than alkalines, and a whole lot better at temperatures nearing 0*F. Both of these battery types will regain some efficiency when rewarmed (such as inside your pocket). Lithiums, of course, remain stellar until the very end, regardless of ambient temperatures.
Now, the bulbs. I only blew 3 bulbs–one halogen with alkaline cells at 70*F for 3 hours; one krypton with lithium batteries at 70*F for 2.5 hours, and one xenon with lithiums at 70*F for just an hour. There was no problem with any of the LEDs. My theory (completely unscientific, purely anecdotal) is that the bulbs (but just a few) became overheated and blew when exposed to 1-3 hours of steady use at 70*F. There were no issues when the lights were used at lower temperatures. I should also note that the vast majority of the tests at 70*F produced no problems, even with run times of 5-6 hours utilizing lithium cells. There certainly are a few unknowns involved here, including perhaps the consistant quality of the bulbs themselves.
Now, I don't think any of these lights employed regulated circuits, as the concept probably hadn't been used as of 2004. Anyway, I myself have used lithium batteries in all my lights since then, even in my xenon flashlights. I've not had a problem, ever. Your experiences will probably vary.
But whatever we do, lets not frizzle our tikkas…