Previous responses are actually very good, and try to consider the main problem in any selection: what for you will be using the device. But, they might likely be more than you are willing or interested to do/learn/investigate/understand. I will try to make it simple, guessing as I go.
1. decide for what do you (mostly) need it. E.g. around the house, walking the dog, looking for the cats, running at night... - all would be served perfectly with a single AA battery model - e.g. Fenix E12. It would be usable for hiking and camping, too.
2. how often do you expect to carry it? If you want to have it always with you, AAA might be preferable (e.g. Fenix LD02 or Fenix E05 2014 Edition), or some of the smallest AA models might be usable (as under 1.). If longer uses are probable, and/or you need free hands, then it is best to get inexpensive headband or belt holster - they work best with AA sized lights, AAA might be unsafe in holders (relatively easy to fall out). Best headband I have found is Nitecore and best belt clip is Fenix AB02. Both work excellent with AA lights and are usable with an AAA (but, AAA is not meant for this usage, really).
3. how often do you expect to use it at a time? If carried in hand, AAA might be awkward for longer time, over e.g. 5 minutes, unless you have small hands; small AA is likely to be nicer to carry longer in a hand, even in a smaller women's hand. Examples: the same as in 1. and 2. As for declared battery life: ignore it and carry a spare battery. EVERY battery will always die when it is inconvenient - when you need it.
4. Do you expect using it (activating it and changing strength) in a hurry (e.g. cat screaming under a window) and/or often (every day, several times)? If so, I strongly advise against Twisty on/off models, Tail button cap is far better. But, twisty on an AAA light makes for an extremely small light (e.g. Fenix E05 2014 Edition).
Avoid complications, too many modes (3 are OK), more than one switch and side switch. I would prefer a model using standard battery (AA or AAA). Unless used very seldom and for short tasks (minutes), I would recommend using Rechargeable batteries, Sanyo (now Panasonic) Enelooop are the best (not Lite and not Pro or XX), and their best charger is NC-MQR06 (good for both AA and AAA sizes).
Many company's lights will be good. I have several Fenix models, and they work excellently. There are many possible complaints to be made to what I wrote, but this is likely the simplest good advice you will get.