Here is another deal I stumbled upon will save you LOTS if you like these little NiteIze S-biners.
I was at my local Black & Decker outlet and saw the rack with the NiteIze s-biners in various sizes. Pictured below is the plastic s-biner. In a size "0" they sell on the NiteIze website for $2.19 a piece. At the B&D outlet they sell them in a two pack for just $2.99.
But then I noticed the S-biner keyring (see the pic below). It has 6 of the identical size "0" S-biners on a large split ring. The price? Only $3.49! On the official site it would run you $13.14 for 6 of these little S-biners individually. That's a savings of almost $10. Pretty sweet bargain on these S-biners that are the perfect size for flashlight and knife lanyards.
If you are talking about keychain sizes I can pretty much guarantee you that you won't lose a light with the Photon clip I linked to. It's got a lot of force. If you are using them with lanyards and larger lights I'd agree that the only sure thing is a locking clip.