I've done a couple different things. We're talking DC here though.
My 'lead' SD45 has the light and strobe package fron Richmond Controls. Every lead unit I've got has one of those in it now. Constant brightness, LED's, slide-in board, and Jim is really talented on matching the flash pattern to a prototype if you tell him.
For my recent builds I've been mounting the ultra-cheap tiny golden-white LED's off of Ebay - you get a bag of like 20 for $7, with leads, and resistor. I put them in a brass K&S tube, glue the tube to the cab roof, and seal the back end with white glue and paint black to prevent light leaks. I swap out the resistor on the original board with what is supplied with the LED. I have yet to blow one up, and the results are rather spectacular.
Have been doing the same swap out of the LED/resistor on anything with a DCC decoder, if I can fit it in, and these are so cheap that I've sometimes just soldered the leads to where the LED port was and hoped for the best. Again, they're surprisingly tolerant of what's probably a non-recommended resistor in series.
CMR has even smaller pico-sized golden-white LED's with the proper resistors. Those are so small I put a yellow one INSIDE a clear rotary beacon off the DCC board and it worked.
Here's the short video featuring the Kato SD45's with Richmond Controls board:
I may not be fussy about a lot of things, but to me, it's not a train without a blindingly bright headlight coming at you, proper color, and the entire cab shouldn't be lit up either. I've gone back on a lot of my older models and done that tiny LED with resistor trick.