This is the first year I've started running outside in the winter. Today I did a (reasonably short) 2.5 mile loop in the dark.
It sucked. I don't like running in the dark. Washington is so full of trees that the moon and streetlights aren't very useful.
But, it's still better than running inside.

I really enjoyed running in the dark in NM until the night I was "chased" by about 4 coyotes. Running at night in Oregon for the Hood to Coast race was fun though.
I suppose part of the problem out here is that you're regularly blinded by oncoming cars, making whatever light is available even less useful—that's probably less of a problem out in NM.
--D
Yeah - headlights are a pain. Do you have a headlamp or something similar? That helps a lot.
Nah, I don't have a headlamp. I find most gear (headphones, etc.) to be a little too ... bouncy while running. Are lightweight headlamps available, so they don't flop around?
--D
Absolutely - bounciness was a great concern for me as well - I picked up a Petzl E+Lite from REI. It's very light weight, and has quite a bit of variability - three white and three red LEDs, with a bright mode, and low power mode (each will illuminate something like 3-4 ft to 5-6 ft) and also a strobe/flashing kinda thing. It works well.