I keep a Petzl Zipka in the bag. It's small enough to throw in my pocket when I'm done setting up and I can grab it to shine some light on the floor when somebody is walking by. I keep the green lens cover on it so it's not so obnoxious.

This one rocks. I have a regular headband one too which is more comfortable if your wearing it for a while, but the small size of this thing can't be beat. About the size of keys in your pocket, just less pointy.
I like the red lens over a white LED. Preserves your night vision and is usually plenty of quality light. It's a much better quality of light than a lamp with a red LED which is only emits a very narrow frequency light and is harder to see with.