You can quickly see the possibilities
[Light bulb picture]
An LED, a watch battery, and a clip or peg is all you need.
Simply insert the battery between the wires of the LED, clip it on using the Bulldog clip, or a clothes peg, and insert it into a Lego Technic piece. Very simple, and also serves as an easy way to try out lighting in large models before you wire it into place.
[LED, Bulldog Clip, Technic piece and paper]