You can find 18650s for sale on walmart.com . I'm not sure if the physical stores carry them, because there aren't any where I live, but I know that in Shenzhen/HK and other parts of Asia you can easily find 18650s for sale amongst other batteries in physical stores.
Because of the high discharge you can hurt yourself or start a fire much more easily. Just look at the stories of people with burns on their thighs from throwing them into a pocket with keys/change.
NiCd/NiMH can also source huge currents if shorted.
Flashlight geek here. Several people on flashlight forums have reported finding the Westinghouse branded 18650s in physical Walmart stores. They have a low capacity - 2000 mAh, compared to 3000-3500 for the latest cells from Sony/LG/Samsung/Sanyo/Panasonic. They also use a cell of unknown manufacture, so I can't be sure of the quality.
Specialty battery stores, higher-end outdoor gear stores and vape shops have 18650s, but it's best to get them online from dealers that know what they're doing. In the US, good options include Illumn, MTNelectronics and Li-ion Wholesale. These places have the gear to test batteries to make sure their suppliers didn't send them fakes, and usually have very competitive prices.
Can I ask a flashlight question? :) How do I tell how many lumens a flashlight really is? I go on Amazon and I see XyzFire flashlights that claim to give out many more lumens than would make sense, and many times they're inconsistent on the page itself. I don't know how to really tell. (If it matters, I'm trying to find a flashlight that fits in my pocket, is < $20, is ideally zoomable, and is as bright as possible. Best one I've found so far is this: https://www.amazon.com/gp/product/B011B1U2QS)
As to your request, a couple general recommendations first: skip the zoom, and don't chase output numbers. Zoom is pretty optically inefficient, and small zoomable flashlights don't end up with much more throw distance than similar size fixed reflector flashlights. They don't do wide-angle illumination as well either. A good reflector with sufficient output provides both at once. As for brightness, human perception of brightness is roughly logarithmic (with a base between 2 and 3), so it takes four times the output to look twice as bright. Anything over about 500 in a pocketable flashlight is pretty decent, and most 18650 lights have more.
Specific recommendation: the Wowtac/Atactical (both names show up on Amazon sometimes) A2. This is one of the smallest 18650 lights, has shortcuts to low, high and last-used modes from off and has a right-angle configuration that works equally well handheld of as a headlamp. A pocket clip, headband and 18650 battery with built-in USB charging port are included. It costs $20, and I have no idea how they make a profit given all the stuff it comes with. Go with the neutral white tint if you can find it; this looks more like sunlight and won't wash out colors as much as the cool white.
* Convoy: 330416
* Eagle Eye: 1735126
* Maxtoch: 314381
All three make good stuff that has been popular with flashlight geeks. Convoys with "new firmware" or "Biscotti" have an open source firmware: http://bazaar.launchpad.net/~toykeeper/flashlight-firmware/t...
But if you're here, there's a good chance you're the sort of person who could get an AVR programmer and tweak something if you don't like it. Different modes? Timed stepdowns to prevent overheating or not, or more sophisticated thermal regulation for the attiny25 based drivers that have a temperature sensor? A firmware with completely different behavior like near-continuous ramping instead of fixed modes?
It's hackable, and hackable is good.