Graham, that's a great headlamp, but 1 lbs and $60! I'm looking for something a little simpler, cheaper, and of course, lighter. Thanks for the link though, I may be able to find something that will help me out in it (I haven't read the whole thing yet, just browsed it).
Brett, now where is the fun in buying something I could try to make for almost no investment? :) Likewise, I would like something a little simpler and lighter, though I don't think I can find anything cheaper!
I think I'll run to Radioshack tomorrow or Friday and see if I can pick up any supplies there, otherwise I'll order all the parts this weekend.
BTW guys, thanks for the links, I had forgotten all about instructables.
Mike, since you are probably more knowledgeable than I in these kind of matters (I'm drawing on material I learned in a high school class 3 years ago), do you think the zener diode will have much effect on the life of either the LEDs or the battery, or should is there something else I should consider in the way of regulation?