One of the big problems with the high-output LED's is high heatsinking requirements. The junction's very small and if the heat from any inefficiency doesn't get right out of there, the efficiency gets even worse. (Not sure if this is the main problem holding back the efficiency overall--there may also be inefficiencies in the phosphor coating that converts the blue LED to white light.)
Don't confuse efficiency with power level.
My understanding is that the high-wattage LEDs have similar efficiencies as the low-wattage LEDs. (Efficiency = power_light_output/power_electrical_input, often expressed in lumens/watt). However, because the power levels are higher, the heat sinking requirements are more critical. (LEDs are damaged when the junction temps get above certain critical levels.) The control circuitry for high power LEDs includes a temp sensor and, if necessary, the power level is reduced to limit the junction temp. (FWIW, high-power LEDs are best driven from constant-current sources.)
Compare the Princeton Tec Apex and Black Diamond Icon. Both use 3-watt LEDs. The Apex has good heat sinking and can run continuously at ~3W (measured). The Icon has poor heat sinking and is run at ~1.7W (measured) to keep the junction temps down. The Apex puts out significantly more light, but weighs more.
Lower-consumption LED's are more efficient (and cheap), so the cheap way to get lots of lumens is clustering LED's. The problem then is multiple light sources; shadows get muddied and contrast is low. It drives me up the wall but might be less of an issue for some people--certainly the lights Kevin posted should do the job for rummaging around in a pack. CatEye gets around it with some very clever optics to bring the multiple beams together.
As noted above, the efficiencies of low-power LEDs are similar to those of high power LEDs. It is simply easier and cheaper to use several low-power LEDs in place of one high power LED. (Designers often use simpler drive circuits for low power LEDs.)
Also, high-power LEDs have only become available recently. Previously, the only way to get higher powers was to use multiple small LEDs.
I have one of the CatEye bike lights with 5 low-power LEDs. The beam is terrible. I also have a ~1 watt CatEye single-LED bike light. It is brighter and has a much better beam--both lights have similar (measured) power consumptions. (The the 5-LED light is older than the 1-LED light so at least part of the difference in light output could be due to newer technology.)
The technology of LED lights is progressing pretty rapidly right now. The efficiency of both high and low power LEDs has been improving recently and will likely keep improving for a while. High-power LEDs (eg >=1W) have only become available recently and higher power units are likely to become available in the not-too-distant future.
Doug