Canister or handheld?
I would recommend an SSC P7 - probably the most powerfull LED that is reasonably priced. Dealextreme for less than $25. Can get the reflector there for about $5 and the Maglite glass lenses for $2 a piece.
Buy the P7 driver from Kaidomain.com. Single mode $7 multi 3-mode $12. I don't see a need for a 3-mode. Bought both and I always run full brightness anyways.
I recomment 6 volt battery pack by using 5 12,000mAh D cells. Overstock.com sells two for about $20. This is probably the most expensive at about $60. You'll need a NiMH battery charger about $20-30.
Canister- use PVC, you can get the latches, glands, switch, etc from Dive Rite or Salvo (you'll spend about $80 on this for quality). Although, there are cheaper alternatives. To make lids, cut a 3" pipe in 1/2 lengthwise and bake at 400 degrees for 10 minutes. Put something flat on top and bottom and set a SCUBA tank or two on it to make perfectly flat. Allow to cool completely. Now you can use circle cutters, etc to cut the top and bottom. Glue the bottom and put latches on the top.
Light- use a C or D Maglite cut down to remove the switch hole. Remove the threads from the inside of the light head to allow the barrel to fit all the way up in there and JB weld in place.You can pick up a 3-D with mini Mag and batteries at Sam's for $19. Get bigger O-rings. Harbor Freight Tools has a set that goes all the way to 2 1/4" for less than $20 and comes with 380 O rings. You will have to take the Dealextreme.com reflector and trim it down to allow for 2 lenses and bigger O-rings to fit. Of course, cable gland will go on the tail cap. Drill and tap a hole. You can use JB weld to permanently hold in place. Get a D Maglite heatsink, about $15,. This is bigger than the one on the Dealextreme reflector. The P7 is a hot running LED. Look at candlepowerforums.com for the heat sink. A few people are turning these and selling them there.
I hope this helps. Let me know if I can give you further information. You should be able to build for about $200 unless you try to go for a delrin can custome turned and all that.