CompuDude:
I've seen those... very slick! If they ran off AAAs or something other than funky watch batteries, I'd be sold.
I'm not sure if my current marker lights officially belongs in the "Do It Yourself > Making Your Own Gear" forum or not... I've been using those cheap keyring LED lights. I drop one in a ziplock sandwich bag. Squeaze out he air (more or less), then drop that bag into another sandwich bag (air in the bag is not needed, but a little doesn't hurt anything... I just didn't want it to be real buoyant). Super cheap generic bags seem to be water tight about 50% of the time, so two bags give about 75% survivability to the lights... use more bags as suits you. To the outside bag, I used waterproof athletic tape to attach a rubber band. The rubber band usually gets looped over my tank valve, which keeps the light completely out of my view, in case I want to hide my light to watch bio-luminessence. My cost was about $1.10 per light including bags and lights. (I got a 25 pack of the LED lights on eBay.)
Advantages: Cheap, re-usable, available in an assortment of colors so you can use a different color (for you and you buddy), than any other lights around. On a resort boat with 20 divers, I handed out the bags to anyone who wanted one. My buddy and I used 2 each. We steered well clear of the "cluster boink" of divers from the boat, but after the dive, many divers mentioned that they'd been able to keep an eye on us with our four (two each) tank mounted LEDs.
Additionally, if the power goes out at your resort (not that it ever happens in Honduras or Belize) you'd have an LED light to open the lock on your room, in case you were out after dark. I think my key chain lights are supposed to run for 15 (or was it 50) hours, on the included batteries, so I think the money was well spent.
Disadvantage is pretty apparant: It looks rather home crafted (cheap). You may not impress the ladies with this idea... unless the power goes out, and you're generous enough to pass out a bunch of lights to people that only have their dive lights and one set of batteries.