Flashlights work best, but if you can find any kind of barrel, those would work too. Flashlights are the easiest htough because they already have a button or switch on them. you just have to scrap the insides of them though.
It all depends on what you like. If you like a pen style pointer, buy a cheap green pointer for ~$15, rip out the green module and stick in your laser for a nice pointer style laser. To top it off now you have a little green module to play with.
The MXDL tutorials are the easiest way to get into building your own. The parts are all available and tested for both performance and fit. Just buy what you need and follow the directions.