If you like the ability to use AA primaries in a pinch, the Tekkeon devices mentioned are apparently good. But I prefer DX sku.18883, using Li-ion 18650s. These batteries, while somewhat larger, offer much better energy density -- they're the cells used in almost all laptop batteries, so that's where most of the battery tech advances are focused. While volume isn't necessarily a perfect metric of pocket space, a good 18650 has 7% more volume than 2 LSD AAs, but 2x the energy storage! (The one bundled with sku.18883 is probably only 2.2Ah or so, but that's still over 1.6x the energy of 2 AAs.)

The only real disadvantage is the near-impossibility of using it with primary cells -- 3xAA or 3xAAA in series would drive the electronics, but most people are unlikely to have the magnets and wires in their pockets to jury-rig such a fix. (I often do, but probably wouldn't if I ever needed it. ) A 3V lithium primary (such as CR123A) with an appropriate spacer might work after a fashion, but you could only use the first bit of power before it would detect low voltage and quit.

A personal bonus for me, as a flashlight geek, is that many of my flashlights also use 18650 (or 14670, essentially same length, but same diameter as AA; these also fit in sku.18883), so one collection of spares can reload either, and this can serve as an emergency 18650 charger. Also, the USB flashlight head, while not spectacular, is enough to impress your average flashmuggle, and certainly usable, especially with a USB extension cable.