For lights on a commuting bike I feel like the easiest to remove and take with you, or the hardest to get off are best. One decent tip I heard yesterday was to zip-tie those silicone ones on. Makes it a bit harder to just nab them. But that's in Switzerland where people leave Brooks saddlebags on their bike while its locked up. I actually left a bike completely unlocked for like a week by accident. No worries.
I bought some of those designy magnetic onces you find in museum gift shops. They're super conveniene and easy to pull off and tuck in the pocket, steel only though. The problem is it's just a single LED and the quality is not where it should be. First set I had one was problematic, got a replacement, works but still a finicky bitch sometimes.