Matt has a great post up about 3 small flashlights that you should definitely check out.
Here are a few of my recommendations:
SE FL340 Finger Led Light – These can be hit or miss based on quality, but when you get a good one they are a great low-light flashlight. And at only about $1 they are essentially throwaways. I have a couple and really like them. Only downside I see in them is that you cant replace the batteries. The white ones are the best. Here is another source.