Watts are a measure of the power consumption of the light.
Lumens are "amount" of light - effectively also power, but after the conversion into light. It's the same regardless of how the light is focussed.
Candlepower (or candela) is beam intensity (lumens per solid angle). If you focus the light into a narrower beam, the candlepower rating increases.
Lux is surface illumination (lumens per square metre). As well as getting a higher rating for a narrower beam, you also get a higher rating if the light is closer to the surface you are shining it on.
The only convertible units are lux and candelas, but you have to know how far away the surface used to measure the lux was. It's usually 10m, because that's how German road lighting regulations specify required lighting power, but I have seen 1m lux quoted too. At 1m, 1 lux = 1 candela. At 10m, 1 lux = 100 candela.
For converting between watts and lumens, you have to know exactly what the light source is. An old style bulb may give only 10 lumens per watt, but the best LEDs can give 120 lumens per watt when run at a reduced power.
You have to watch out for lights that claim a high candlepower or lux rating by concentrating all of the light into a very narrow beam. The Cateye EL530 is like this.
You also have to watch for "manufacturers rating" on the amount of lumens from an LED. Lumens aren't easy to actually measure as you have to add up the brightness of all parts of the beam. Instead, many makers just quote what the LED manufacturer says it will do, and ignore losses in the lens/reflector, reduced output due to the LED getting hot etc.
The other thing you have to watch for is the mismatch between quoted powers and quoted runtimes. A 2500mAh AA NiMh battery has 1.2V x 2.5Ah = 3 watt-hours of energy in it. If a light has 4xAA, claims 3W and a 10 hour runtime, it's not true, as 4 AAs will only run 3 watts for a maximum of 4 hours. It's probably 3W with new batteries, then gets progressively dimmer.
For road riding at reasonable speed (20mph) on unlit country roads, you want about 100 lumens in a fairly narrow beam (but not as narrow as the EL530).
It's nice to have more available for faster downhills.
For battery lights, I'd go for either the Hope or the
B+M Ixon IQ.
The Hope is brighter, but actually puts less light on the road because the beam isn't so well controlled.
The Hope has a foible that you may not like, in that when the batteries can't cope with the current power setting, it turns itself off. You can turn it right back on at a lower setting (provided you didn't crash first

).
The B+M comes with a set of AA and a charger
The B+M is currently out of stock at dotbike, who are the cheapest UK source (I believe). Also check Germany - eg
here, no charger/batts