Instructables user narced133 was sick of having his bike lights stolen, so he decided to build a pair of lights directly into his helmet. Instead of just strapping some on, he built them from scratch and made them rechargeable.
The build features a lot of tools, but it's not particularly expensive to make yourself provided you have everything already. You'll make your own circuit, so it's not exactly for the faint of heart, but it doesn't look that hard to do on your own. The end result is a light you build yourself that's built into your helmet so nobody can steal them off you bike. Head over to Instructables for the full instructions to make it for yourself.
Rechargeable Helmet Light [Instructables]