I have wondered before why a 9V cell isn't more popular, I'm sure one of our torch nuts could tell me, but it seems to work in this light. 
I suspect they use 9V's for them because of the voltage level. It's a lot easier to design an LED driver circuit with a higher voltage than it is to use a lower voltage, or a wider range of voltages.
With a 9V battery, which is actually 6xAAAA cells at 1.5v each, your driver circuit can be very narrow range, which increases the efficiency of the light because you only need a very basic inductor to drive the LED with the current you have. More energy goes to the emitter and less is wasted by the inductor having to change the voltage to a level that the LED can safely use. This gives them more output and more run time too.
This is one of the reasons that the new Zebralights are some of the brightest and most efficient LED pocket lights out there right now. By only supporting a voltage range from about 2v to .9v, they get more life out of a cell, and can supply that power more efficiently to the emitter for more output and more run times. Of course Zebras are in a different class that the PAL's because they use premium high efficiency emitters like Crees and Luxeons, whereas the PAL's use 5mm Nichias IIRC, which is another reason why they're less expensive than something like a ZL.
