Once you tried a headlamp over a conventional flashlight it is hard to go back. Hands free lighting makes all kinds of navigation in the bush easier. It also gives you both hands for camp tasks when you arrive a little late and have to set up or cook in the dark.
Headlamp technology has been recently switching between Halogen or incandescent bulbs and the newer light emitting diode (LED) technology. LEDs are much more efficient so your batteries last longer. They also have a bulb life which will generally exceed the amount you will use your headlamp in your lifetime so you don't ever have to worry about burnt-out bulbs.
The key factors that will determine what lamp you choose are mainly how much light you need, and how long you want the batteries to last. If you are navigating or doing some fast paced trail activity like trail riding or running, then look for a headlamp with a narrower focused beam...typically this will revert you to a high output LED or a Halogen headlamp. However the more light you output the shorter your batteries will last. So if your headlamp is only used for walking or camp chores look for a compact LED headlamp which will provide enough light, but is easy to pack and easy on batteries.
Compact, lower light output headlamps are generally lighter and more compact so they are more suited to activities like hiking where weight is an issue.