And I've been through a lot of them. (Itty Bitty, Bookworm, AAA MagLites, various unbranded ones...)
If you must have a clip-on, the best one I found was one from American Science and Surplus that was unbranded. It was this one:
http://www.sciplus.com/singleItem.cfm?terms=10031&cartLogFrom=SearchIt's currently $1.50 each, and AmSciPlus has a $10 minimum, so buying 6 or 7 and having them break eventually is not a real problem. The batteries in mine lasted for about 6 months, but the light died shortly after I replaced the batteries when one of the cats decided it was a great toy to bat around on the hardwood floors. (At $1.50 each, it was not a heartbreaking thing.) Since it is a blue-white LED instead of a tiny incandescent, the batteries don't suck down too fast.
Still.... I like the lightwedge better. It puts the light where I want it - on the page. There's virtually NO overspread of light. The only rotten thing about it is that it can be problematic to turn pages if I'm on my side. I've got rechargables in my lightwedges and I haven't changed the batteries since March. I read myself to sleep, and often fall asleep with the wedge on... so the fact that I haven't charged the batteries since March should say something. I have both sizes, but the Paperback size is big enough for all but the most oversized of hardback books; I ended up using the paperback light when we bought our copies of Half-blood prince. When I do change the batteries, I pop them out in the morning, drop them in the charger, and they're ready for me when I want to go to bed.
(I see that LW now has a mini sized; I don't have that one.)
My other means of reading at night is a bit more hi-tech.... I use my Palm device (a Sony Clie TJ-35, currently about $80 on ebay) and ebooks. The Clie turns itself off after 2-5 minutes of inactivity, so if I fall asleep, oh, well. I use the wedge when I can't get a document in electronic format and the Clie when I can (and I do a lot of editing and reading of notes on the Clie since it's really easy to convert any text document into a palm readable document.) If that's too rich, a Handspring Visor runs between $25 and $50.
And speaking of books.... bedtime for me! Cat's Cradle calls.....