Yes! Score! Free mini-shampoo bottles from that cheap hotel! Err, now what do I do with them?
Why, make lamps of course!

This is a lamp which will burn many oils (Canola Oil - A couple dollars at the grocery store for more than you'll ever need, and free in the kitchen - is my personal favorite). It packs down tiny to slip into your pocket yet will give you SIX hours of a bright flame which is, according to my highly scientific method (holding my hand and friend's hands over different flames), much hotter than a wax candle.

No parts that can break if used properly.... I hear of people trying to pry things with their knife, but "Gee, I bet this lamp will be a great expedient anvil!" isn't likely to be heard, so theory makes this design unbreakable....

Neat things:
-If a small candle can warm up a snowcave as much as 20 degrees this should be able to do better :)
-Oil of this sort will either not evaporate or do so at an extremely slow rate... No, "Whoops, should have screwed that cap on tighter"
-Flame Size is adjustable from a monster you could probably cook with too a tiny even flame which will last a loongg while.
-The viscosity of the oil is such that if you knock this over, you have a generous gracer period before oil starts getting everywhere.
-Oil burns, NOT the wick (obvious, but perhaps some weren't sure)

Disclaimers:
~THIS IS MY FIRST INSTRUCTABLE, ALL COMMENTS WELCOME!
~This involves fire, don't burn yourself, others, or things which may harm others if burned.
~Don't eat the small parts, you could choke on them.

Step 1: Gather Materials

This is by far the most difficult step.

After much scrounging, I came up with
~this shampoo bottle
~7/16" socket (for 1/4" drivers)
~Heavy, Solid Copper Wire, I'm no electrician but I'd guestimate 12ga.? Look at the pic :)
~The border/trim of a cotton towel
~Canola Oil

This is what I had on hand, find what you can.
~Possible body containers include nip bottles, those fuel additive/ 2stroke-oil bottles, film canisters, pill bottles....
~If you're using a container that will not tolerate heat (i.e. Plastic) you'll need something to dissipate the heat. My solution was to find a socket which fit the neck of the bottle snugly, slide it up from storage position when lighting, this takes the 'waste' heat from the flame and gets it out into the air (warming you or your food in the process) and keeping it away from your container.
~Wick Material. If you have some on hand, great. If not, even better. Find a cotton rag/towel which has a border. This will provide you with some very nice 3/8" (or so) flat/tube wick. NOTE: Do not use any synthetic material -it will melt and/or produce nasty vapors.
~Oil: Just about any will suffice. Vegetable oils (Olive, Canola, etc.) are quite nice. Mineral Oils and Animal Oils work just fine.... Got seal blubber? Scrape some of the oil off of it and fill your lamp up. Try adding salts to the oil. They'll make the flame burn brighter, and depending on the salt, turn the flame different colors. Sodium based salts (i.e. stuff on your food) will give your flame a good, bright yellow/white kick.

Step 2: Put Everything Together

In my case:
After trying three different 7/16" sockets, I found one that fit "just right" - very snug and won't go anywhere on its own, but can be slid with ease. (insert with 1/4" square up for wick) When folding the lamp into closed position it becomes possible for the socket to fall into the container body. To remedy this, make a stopper: Take the thick copper wire and form one loop the size of the base of the container. Continue to form into the shape shown in the previous step's picture. The top loop should be just large enough to fit into the large end of the socket (while allowing space for the wick of course). It's length should be such that the socket will lie flush with the rim of the container without being able to fall through. The bend in the middle allows it to spring a bit.
Then trim towel border to size (the overhand knot in mine is from before the copper wire when the socket fell through, the knot made retrieveal easy).

I'll let the pictures do the rest of the talking.

This is my prototype model, I'll neaten things up and think of improvements for the one which I'll be using. One idea thus far: Adding an aluminum reflector (Such as that from a soda can) around the body which can be slid up behind flame and thus double light in one direction. Not sure what to hold it in place with though, bicycle innertube is too loose.... thoughts? Let me know if I need to clarify/fix anything here :)