Your lights serve two purposes: so motorists can see you, and so you can see your path. The first is generally more of an issue, particularly when the lighting is dim (early morning, cloudy days, dusk).

Initially if you are looking to not spend a lot of money a battery-powered or rechargeable light is fine. But at some point, after you've been caught with a dead battery one too many times, you might want to consider a generator-powered light. There are two kinds: hub generator and sidewall generator. I've heard sidewall sometimes has problems in wet or snowy weather. A hub generator has to be built into your wheel, probably requiring purchase of a new wheel. I adore my hub generator. It accomplishes both of the functions of being seen, and seeing.

I also adore my downlow glow, available from http://www.rockthebike.com. Mine is orange. I've had friends who were driving past me tell me how bright it is. But it is rechargeable and I get caught with a drained battery despite my best efforts.

Finally, I recommend reelights. These operate off of magnets attached to your spokes. Again, no batteries, no recharging. The only downside is they are located near the hub of your wheels, which is low down, and I like to have an additional light at eye-level of the motorists. Look in your bike shop for these.