I actually prefer Lumenoks, but honestly, I've found that both are high quality products. My wife runs Nockturnals on her arrows, while I run Lumenoks on mine. The Lumenoks are a bit brighter, and I can shut them off without a tool, whereas the Nockturnals run down a bit faster, aren't as bright, and really can't be turned off without some tool. Either are very bright, and very easy to find in low light conditions.
What I HATE about the Lumenocks, but tolerate, is the fact that you have to back them out of the shaft to turn them off. I nock-tune all of my arrows, so I have to be very careful to make sure I don't twist the nock out of time when I turn them off at practice.
Either one of them can occasionally activate when you snap them onto the string. My wife plays heck with her Nockturnals when she pulls arrows off of the string, the Nockturnal will pull out, but a small dab of CA holds it in place until you break it free to replace it.
I'll give 4 specific experiences here as well:
When my wife was setting up her sight, she "submarined" an arrow under the grass in her dad's yard, we looked for 20min and never found it. Later that evening once the sun had gone down, her dad called and said he had found the arrow, he spotted the pink glow through the window of their house. Without the Nockturnal, that's a $10 shaft that we wouldn't have found.
I was trying out a T-release this year left handed (first time using one left handed), using a competition style high angle draw, failed to clip onto the D-loop properly, and sent an arrow flying out into the wild blue yonder. It landed "somewhere" in knee deep grass, and again, we searched for 20-30min before giving up. Later that evening, I walked back out and the glowing orange Lumenok lead me right to the arrow. Another $10 back in my pocket.
My wife shot her buck this year right at the end of the day, her Nockturnal lit up like a beacon, showing the hit perfectly as he ran away, rear lung/liver. We waited a half hour, getting into complete darkness outside, but found the blood trail where he jumped into cover because he had broken the end of her arrow off, and the Nockturnal was glowing on the ground.
Same buck, pitch black, tracking blood trail, we stuck the tips of arrows with lit nocks (lumenoks and nockturnals both) into the ground wherever we found blood to help us reference backwards and see the path behind us as we tried to follow the bloodtrail.
I buy 3 new ones each year to get a fresh set of batteries for both of us, costs me $60, cheaper than dinner and a movie with the wife. We use dead ones as practice nocks.