Agree with Nick M, don't put full overlays on the headlights. It looks cheap compared to getting the housing painted.
The taillights are a different story. I went the vinyl route myself and I couldn't be happier. I was planning to use VHT Nightshade but didn't want anything too permanent. Overlays are the way to go if you ever want to revert back to stock.
Contact Bluebatmobile. He offers several styles and tint %'s. Good pricing and fast shipping. This is a pic of my car:
Blue Batmobile Overlay Picture Thread. Post your pics here!
Also if you don't decide to get the headlight housing painted, as it can be a bit expensive if getting it done professionally, he offers a black out "boomerang" vinyl for them. It only covers the inside edge and orange reflector of the headlight, so it won't interfere with light output. I have an extra set if your interested. Here's a pic, scroll to post #261:
Blue Batmobile Overlay Picture Thread. Post your pics here!