I aways take a radio with me to be honest, can't go without Radio 4 news I'm afraid. As to lamps in general, they come along in some form or another. On my own I use a candle lantern, with my lad along I may take a Primus gas lamp or if transport is no problem then one or two Vapalux/Bialaddin pressure lamps as well; I find the hiss of a pressure lantern very relaxing to be honest. The cheap and cheerful huricane lamps have their place as well, as someone else said, a little oil and you have hours of gentle light. Lots of people here on the forum use wind up radio's so why not a lamp powered one?
I also take an MP3 player, you can't beat a little jazz late at night (headphones on of course)