MYOG headlamp?

I built several. As for your cost estimate, manufacturers often have about a 25% materials cost based on MSRP, so that's pretty close.

What I found was that while I could put together a pretty good regulator and array, and at the time more and brighter LED's than could be had at retail. hey had spent the time in the human factors and packaging, and that was ultimately a pretty big deal.

If you want UBER light, search for a 5 Watt Luxeon white LED. I believe that is as bright as they come for non-coherent sources. They also make a pulse driver that is pretty impressive. You can play the duty cycle game for extended battery life.

Good uck,
MikeB

Adam,
I was going to make this one..
http://www.instructables.com/id/EU9I131F1B3RHOB/
(many more at that site)

Until I found these guys and their 8-LED (High,M,L) AAAx3 tilting headlight for $5 with free shipping.
http://www.dealextreme.com/details.dx/sku.1298
Here's a headlamp wih an additional LASER
http://www.dealextreme.com/details.dx/sku.1299

But since you are an EE; do build your own and consider it career experience.

I made something along these lines:
http://www.instructables.com/id/E2K9BN5EDKEUBYRD9V/

It's in pakistan on expedition right now, and I'll let you know the report on it when it comes home in about two months.

Graham, that's a great headlamp, but 1 lbs and $60! I'm looking for something a little simpler, cheaper, and of course, lighter. Thanks for the link though, I may be able to find something that will help me out in it (I haven't read the whole thing yet, just browsed it).
Brett, now where is the fun in buying something I could try to make for almost no investment? :) Likewise, I would like something a little simpler and lighter, though I don't think I can find anything cheaper!
I think I'll run to Radioshack tomorrow or Friday and see if I can pick up any supplies there, otherwise I'll order all the parts this weekend.
BTW guys, thanks for the links, I had forgotten all about instructables.
Mike, since you are probably more knowledgeable than I in these kind of matters (I'm drawing on material I learned in a high school class 3 years ago), do you think the zener diode will have much effect on the life of either the LEDs or the battery, or should is there something else I should consider in the way of regulation?

Thanks,
Adam

Here's the deal on regulation: If you can get away without it, you're a little bit better off. If you're going to burn out the LED with a regulator, then obviously you need one. A zener in the simplist form dumps power unless you're using it as a reference for an LED driver.

What I really like right now are some of the cheap single chip PWM or duty cycle controllers: They're incredibly efficient (often mid 90%) and easy to 'dial a brightness', have hard stops on the max delivered power, without smoking the LED.

It also turns out, that there is a super easy, super lightweight well matched, no regulator needed approach:
Get an IL-2200 C sized Lithium 3.6 V battery, connect it to an uber bright white LED that is rated at 3.6 V, and let it go. It will run for days, and stays pretty bright until it's almost out, ie a very steep discharge knee.

Hope that helps,
MikeB