They are inexpensive and adjustable, but you'll need a good, solid place to clamp it. Photographer's lights can be picked up at garage sales and they come with their own stands. Of course, theater lights are terrific. They cost more, but allow gels to be used to change the color of the light and often have 'barndoors'. They can also be heavy, so plan where you are going to mount them.
Microphone stands work well.
Whatever you use, remember to plan your light's placement so you don't hamper your backstage movements. The angle of the light is also important in shadow puppetry. Light that comes from below, or above, or the side each gives different effects. Light at a bad angle can show all of your control rods and even the puppeteer's heads. Experimentation is necessary to fit the light to your stage and the needs of your show.