20-30 lumens with a flood beam is enough for hiking on an easy well-defined trail. A 100 lumen spot beam can be useful for finding trail markings at a distance. 5-10 lumens in a flood beam is generally enough around camp. Flood beams are generally more useful than spot--a headlamp which has both is the best of both worlds. (High intensity beams will drain AAA batteries quickly--get a headlamp with AA batteries if you anticipate extended use of such beams.)
A low power red mode can be helpful for seeing without destroying your night vision. (Bright white light destroys one's night vision.) Most headlamps also start off in their brightest mode which can destroy your night vision or cause problems with weak batteries. Starting off in a low power mode is better... (I have one headlamp that starts off in a low power red mode.
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* Princeton Tec, Black Diamond, and Petzl are the main manufacturers of hiking headlamps.
* Don't even consider an incandescent bulb--LEDs are much more efficient and reliable.
* Get a headlamp with replaceable batteries. (Dead non-replaceable batteries turn a headlamp into dead weight. You can also choose the battery technology to match the expected temps.)
* Manufacturer's run-time specs are way over inflated--they generally assume termination at a light level similar to that of a full moon.
* NiMH and alkaline batteries are fine for summer, lithium are much better in the cold. (Remote battery packs which can be kept warm in one's pocket can be useful in serious cold.) I've used NiMH rechargeables year round (but carry lithium spares in the cold).
* One can easily ***** the amount of charge left in alkalines, but not in lithiums due to their discharge curves. NiMHs can be fully charged before starting.
* WARNING: some headlamps can be damaged by lithium batteries because the initial voltage can be too high (generally older LED lights). Check the manufacturer's instructions.
* I suggest carrying 2 (or 3) headlamps--they provide full redundancy as well as light to change the batteries in a headlamp. Spare batteries are also a good idea if extended use may be required.
* Use the minimum light level for the job to save batteries.
* In general, I find headlamps that switch between levels to be easier to use than headlamps with continuous adjustment (eg BD). (One can also precompute the battery lifetime at each level.) Switched levels are generally a factor of 2 per step.
* Water proof/resistant can be nice.
* Headlamps work even better when one is traveling on snow.
* Note: I have had reliability problems with keychain lights. (LED pinch lights.)
REI's "Expert Advice" on choosing a headlamp:
http://www.rei.com/learn/expert-advice/headlamp.html
Doug