Generally I use Streamlights, both on the price and functionality. Presently I have a TLR1 and 6 mounted as well as a Surefire forend on an 870. I also have an older M3X and a few others, originally starting with AA maglights 20+ years ago.
There is a weapons light on my two primary carry guns, which I do not remove. My thought, borrowed from the last two decades of law enforcement tactics, is a weapons light needs to be available at all hours, in case of being needed in a basement, etc. look at the holsters of many cops these days... WML lights are the present and future standard.
Mostly good comments above, excepting the strong disagreement I have with the fear of using a weapons light as a general flashlight. I carry a small AAA flashlight clipped to my spare magazine carrier. That provides an alternative light source. On top of that, I also have Surefire Sidekick light on my keychain (small bright, rechargeable light). Personal responsibility and a bit f foresight is all that is needed. That and training.
I am still looking for a weapon light that doesn't have compromises however. Recently I have warmed to the under-trigger Guard pressure pads from Surefire and Streamlight - just most available. A few NDs have been linked to that type of WML but after some experience that becomes easy to address with training. Hopefully the pressure switches become standard over time.