[Woz]

I think the concensus of opinion is:

Handheld: LED (lots and lots or manufacturers)
Lantern: Light Cannon, Darkbuster
Umbilical: Greenforce, Salvo, Solus

LED light start at £50 (or even less) for a Tektite Expedition Star (I've got one and it's brilliant) and go up to £150 for a Photon Torpedo machined from solid Delrin (nice bit of kit).
Lanterns start at £170 for a non-rechargeable light cannon or about £230 for a rechargable Darkbuster
Umbilicals start at about £350 for a 10W HID to £1000 for a 35W Salvo. £600 seems to get you a 21W Salvo or the equivalent Solus. Bloody bright.

Phil at divingniknaks.com seems to be very good at releasing money from wallets, as does Sweary Wally and Rob at Lumb Bros (Greenforce and Tektite).

You'll get lots of different opinions on here, mainly people shouting the praises of the one they bought. But IMHO and after seeing loads and loads of them underwater, I'd go with:
LED: Tektite Exped Star. Most bang for your money.
Lantern: Darkbuster. 21W HID. Annoyingly brighter than my 21W Salvo umbilical.
Umbilical: tricky. There's not alot in it. I would say HID has the edge at the moment until LED pulls its pants up and focuses the beams properly. So Salvo or Greenforce. Only buy ones with Brightstar bulbs in, not Welch Allen. The WA ones break.