As someone who rides (and drives) frequently at night, I'm always amazed by the number of bikers who have no lights.  In fact, in certain areas -- Logan Square and Wicker Park, I'm looking at you -- the bikers seem to take a perverse pride in not having any lights or reflectors AND dressing in all-black or dark-colored outfits.  I note from photos that the vast majority of bikers in accidents at night do not appear to have had proper illumination, if indeed any.  I really believe that the amount of casualties and fatalities could be decreased substantially if everyone followed the requirement of the Chicago bike ordinance:  "Every bicycle when in use at nighttime shall be equipped with a head lamp which shall emit a white light visible from a minimum distance of 500 feet from the front and with a rear red reflector capable of reflecting the head lamp beams of an approaching motor vehicle back to the operator of such vehicle at distances up to 200 feet or a rear lamp emitting a red light visible from a distance of at least 200 feet from the rear."

An excuse I hear from the lightless is that someone might steal their lights or have stolen their lights before.  Now, on its face that is a feeble reason to not have lights.  If someone broke my car headlight, I wouldn't just give up.  I'd replace it, because safety is at issue.  Nonetheless, I have learned over the years (and yes, after having many lights stolen) that there are reasonably effective ways to secure one's light in the big city.

A very cost-efficient way to have a decent headlight is to simply mount a small, powerful LED flashlight (or two) to your handlebars.  There are zillions of them available on ebay, Deal Extreme, etc., in the $20.00 range or even lower.  Look for Cree emitters -- those are the good ones.  The brand of flashlight isn't so important, although of course more money buys a better light.  A Cree-based flashlight with a single rechargeable 18650 battery is light in weight, bright, and way better than nothing.  I like the ones with the adjustable zoom feature, which enables you to control the size of your headlight beam.  They are only a few dollars more.    

The security angle is this:  You install them using hose clamps from AutoZone, or wherever this particular type is available:  

Koehler hose clamp

They come in packages of two.  Buy a size that will fit both your handlebar and around the barrel of your flashlight.  Then mount the light like this:

Use an old piece of inner tube or any piece of rubber under the bottom clamp to protect your handlebars and enable adjustability.  Tighten that lower clamp so it won't slip, but not so tight that you can't move the flashlight up and down by hand.  You will find that this system is more secure than any flashlight mount you can buy, and surprisingly flexible.

The reason that you use the Koehler clamps, not the kind shown in the picture, is that you can pull the plastic key off the Koehlers, leaving a little square piece of metal with no screwdriver groove that would be cramped and difficult to turn even with pliers, and which will not fit a conventional socket or wrench.  In other words, without that plastic key it's damn tough to loosen those clamps.  If you can't loosen the clamps, you can't steal the flashlight.

I'm not saying this system is foolproof, but, knock on wood, I've never had a light that was installed this way stolen, and I've had my bike locked up for hours, even at night, in some fairly gritty places.  It is doubtful that someone is going to try and unscrew the end cap just to steal that or your battery.  At least, I've never had that happen.  And, it's the best and tightest mount you'll ever have.  Finally, this way you don't have to remember to take your light off the bike or put it back on.

I take no credit for this general idea -- I found it on the web.  However, using the special keyed clamps is my own concept, and it's important.  Anyone with a screwdriver can remove a standard clamp rather quickly.  Not so the ones I recommend.

As far as rear lights are concerned, a blinky is worth a thousand reflectors to me, although some might disagree.  Forget about the easy-off mount that comes with them.  With those, the blinkies just fly off when you hit a bump.  If you have a rack, open the light up, take the circuit board out, and drill a small hole in the back.  Bolt it to the back of your rack, which usually has a provision for just that.  Then, put a cable tie around the entire blinky assembly each time you change the batteries (or slide the old and reuse it) and tighten the heck out of it.  Again, while not perfect, this is reasonably effective.  A thief would have to break off most of the light to remove it, and the cable tie would have to be cut or pried off.  Also, the cable tie keeps the front of the blinky from popping off when you hit a bad bump.  If you have to use the quick-release mount, try two cable ties as well.  I haven't had a rear light stolen yet with this arrangement and a rack.   

I hope this benefits someone, especially with regard to the too-often-missing front light.  It has worked for me for many years.  Also, with the key it only takes a minute to remove the flashlight and use it for general purposes.  Cheers!