I've purchased sticky-back reflective tape from the bike section of the local Alpine Shop, and applied it to one of my polar fleece jackets. It's lasted through several washings with no deterioration in reflectiveness or in it's adherence to the fabric. Don't know the name brand, but I like it better than having to sew it on. It's not as awkward to carry as I imagined, and being able to switch back and forth between regular and fluorescent lighting is nice. Can't tell if the battery use is any different than a normal solid-beam light.
Some depth perception is lost with fluorescent also.
In a post I read, a small blinking bottle cap was mentioned, which sounds nice and small. It comes with a clip for attaching to clothing, and a strap that fits around my arm. Haven't changed the battery yet. It works quite well. They also sell various Jogalite reflective velcro bands.