I've personally used the small glow sticks, led lights with batteries, and glo discs. Personally, I think the worst of all of those are the small glow sticks, they just aren't bright enough for me to spot them once they've landed. Glo discs are better, but like others have said, you have to charge them up and I still think they're sometimes hard to find. So, obviously I like the led lights the best. The startup cost is like 20 bucks or so, depending on how many disc you want to light up. The batteries are the only really cost, as the leds are pretty cheap. If you guys are just looking to have fun, not worry about shooting your best round ever, you can tape the lights on top of the discs without it messing with the path TOO much. Also, the biggest advantage I've found is you can get multi-color blinking leds for cheap as well, which are super easy to see since they're constantly changing.
Check out Radio-Shack, that's where I got my batteries and LED's.