I have a low-cost (~$15) Cateye EL-120 LED headlight strapped to the top
of my helmet:

http://geocities.com/rjmatter/helmet.jpg

Unlike most other headlights, the EL-120 has a rubber strap rather than
a clamp so it can be attached to virtually anything. I just run the
strap through a couple vent holes. I run it in flashing mode with two
rechargeable AA NiMH batteries. It is quite conspicuous and I have
gotten lots of positive feedback about it from cagers and others.

Originally I bought the EL-120 as a backup for my larger, steady-on
Cateye EL-300 I clamp to the handlebars on any one of a dozen or so
bikes in my stable. If I forget my EL-300 on another bike or in a
different bag I will at least have a "be seen" light as long as I have
my helmet with me, which I always do.

Similarly, I also have a low-cost 5-LED red blinky clipped to the back
of my helmet for added visibility and as a backup for my seatpost/rack
light. My helmet, a Bell Metro, came with a durable rubber strap screwed
to the back of the helmet to accommodate a taillight. I use a taillight
from Performance that is often on sale for $5. It has one red LED on
each side and three in the front for 180 degree visibility and takes two
AA batteries. I use rechargeable NiMH batteries in it also.

-Bob Matter
Chicagoland Folding Bike Society
http://www.geocities.com/rjmatter/
Dedicated to the promotion of folding bicycles
and enhancement of the folding bike experience.