From experience, I know that AA's are great. They are cheap, have lots of power, very low internal resistance and are easily available everywhere. Whereas a 9V has 500mAh (for a total of 9*500 = 4.5Wh power) two AA's have 3000mAh each for a total of 2 * 1.5V * 3000mAh = 9Wh, about twice as much power. The only problem is that 2xAA's provide 3V and what we need is 5V. With a 9V battery we can use a linear regulator because 5V is greater than 9V but, sadly, we cant use a linear regulator to turn 3V into 5V. Instead we will need to use a boost regulator (also known as a DC/DC switching/step-up regulator)
The process of how a boost regulator works is somewhat beyond the scope of this document, suffice to say they work great but are a little more annoying than linear regulators because you have to pick out an inductor and wire up some extra parts. You can get a lot more info about
Boost Converters at wikipedia which is also where I stole the boost topology image from.
http://focus.ti.com/docs/prod/folders/print/pt78st105.html