Over the years, I have purchased several headlamps for hiking and cross country skiing at night. I recently purchased the Boruit RJ-3000 and it just blows all the others away. There's absolutely no comparison. It's AMAZING, 4000 Lumens and it's cheap! $22.59. The only downside is, it uses rechargeable 18650 batteries which aren't as convenient as AA's.
This light is still brighter than many if not all other lights that use 4 AA batteries and only costs
Update: No longer $17.60, it's now $30.00 darn it. Link to newer version of this light: http://goo.gl/kHUoj9 Link to light I bought: http://goo.gl/wfAAQj
The BORUIT RJ-2000 is very bright too. I can't find it online anymore which is a good thing. Mine doesn't work well at all in cold weather, gets very dim very quickly even with a 100% charged 18650 battery. Don't buy it.
The Fenix HP10 225 Lumen Headlamp uses AA batteries and is good, but isn't anywhere near as bright as any of the lights above. It has been replaced by the Fenix HP11 which has 277 lumens. Not cheap at $77, but it is waterproof and well built.
The Fenix HP20 also uses AA batteries and is a little brighter than the HP11, still waterproof but is pricey at $90.
Don't buy the Princeton Tec Apex. I have 3 of them and the little wings that hold the headstrap on have broken on two of them. Stay away! Not very bright either.
The last light in my review is a very old Black Diamond Headlamp just thrown in for comparison purposes. The new ones are so much brighter and whiter.