I prefer kydex, but due to the lack of success so far, leather would work as well. Not much of a fan of canvass though. Preferrably OWB, price doesn't matter, as long as it will accomodate the light.
After going through the same problems you are, I finally decided not to carry my M&P with the light mounted. I now just stick the light on it when I put it away for the evening.