As the days start to get shorter here in North America, I'll be commuting to and from work in the dark on my bike. Being visible to automobile traffic is of paramount importance for safety, so I have lights on my bike so that motorists can see me and then pass me safely.
On the front, and have a CatEye HL-EL410. This is a white light with three LEDs that takes three AAA batteries. It's not really bright enough to see by, but the point is to be seen by motorists. I really like this light because it's durable, weather-proof, and lasts for years on a single set of batteries!
On the back, I have a Planet Bike Superflash. I've tried a lot of different lights over the years, and found nothing that is as durable and noticeable as the Superflash.
Here's a video that shows the difference between a standard light and the superflash.
As you can see, this is once very noticeable light.
You can certainly find cheaper LED blinky lights for your bike, but when your life depends on it, go ahead and spend a couple bucks more for the best.
Also worth noting, it's important to have passive reflectors on the bike too. There's always a chance that something will go wrong with my bliky lights (like I forget to turn them on), but the reflectors will still catch drivers' attention.