LED lights have pretty much taken over. More light while drawing less power.
And that is just the start. LEDs are more shock resistent than previous filament bulbs. The also tend to generate much less heat. It was always interesting to smell the smoke and know something was on fire and realize that it is you - that your xenon bulb light got activated in your pocket and was setting the clothing on fire.
LED bulbs last around 50,000 hours, some will last longer. So basically they last longer than you are likely to still have the flashlight. So the only reason to change bulbs is because you want one that performs in a different manner, not because they are burned out.
I have become a big fan of many of the lights offered by Dealextreme.com. They offer a wide variety of lights in a variety of configurations at very reasonable prices.
You can find them that run on CR123 batteries which are still pricey. You can find them that run on AAs or AAAs. I have gone to the 18650rechargeable batteries for the lights that would normally require 2 CR123 batteries. The 18650 lasts longer and is much more cost effective for a light that you use a lot of the time.