I currently use the original iteration of the Bookman bike light. In NYC, cyclists are actually required by law to use a light while riding at night. Although the Bookman lights don’t provide a lot of illumination, they do increase your visibility to others and are easy to mount (and remove when you lock up). They have three lighting modes: solid, and two speeds of blinking.
I have been so happy with mine, that I’m already on my second set. On the current version, it is easier to replace the entire unit, than it is to replace the battery when it dies. Apparently the design folks at Bookman took this into account with their recently announced upgrade, which will be rechargeable via USB. The rechargeable model is scheduled to be available in the US around August of this year.