A while ago, I got some laser diodes from from dealextreme.com. They were dirt cheap, but I haven't had any chance to hook them up. I didn't have a datasheet for them either, so wasn't sure exactly what I should do to current limit them. So, I hooked it in series with a 150 ohm resistor and a 9v battery, and measured both the current and the voltage drop across the laser module. The resulting beam seemed bright and steady.
The current through the circuit was approximately 37ma, and showed a voltage drop of almost exactly 2.5 volts. That means the total power consumed is about 92 mw. These laser modules seem to be good quality: the beam is bright and quite round. While I don't have a specific model number on these diodes, staring at datasheets for similar diodes make me believe I'm probably not too far off in terms of picking a good current.
Yes, yes, I should use a better constant current circuit. This was just a first test.