Personally, I would recommend going with an Insight M2 UTL: Link
Here's a pic of it:
It will fit the stock rails of even the USP Compact. They are typically ~$125-130 from what I've seen, which is about as cheap as good quality lights get.
Also, here's an adapter that will allow you to use any Surefire light on the USP Compact: Link The problem with that is the adapter is $79, then for something like a Surefire X300 you are looking at ~$225. So the difference in price from the Insight M2 is roughly $170+. Insight and Surefire both make high quality stuff so you really can't go wrong with either.
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