Er....
Dynamo, or batteries - that's the power source, which can be treated and chosen quite separately from the light source. The light can be either LED, or incandescent, or HID.
Dynamos can be either hub dynamos, or bottle dynamos that push against the tire sidewall. Then there are those fairly rare units that sits at the bottom bracket and push against the tread surface.
Hub dynamos can be bought as part of already built up wheels, or you can have an existing wheel disassembled and rebuilt around a dynohub.
There are some limitations. Some sus forks these days require thru-axles, and I don't know any dynohubs set up for that.
OTOH, it's usually possible to find 9 mm adapters for thru-axle forks.
I'm not entirely clear either on which brake types that can be had on dynohubs.
Dyno + drum brake =yes. Dyno + roller brake =yes. Dyno + rim brake goes without saying.
And according to a quick google you can get Dyno + disc too. Never seen one though.
Since so much of the cost of building up a wheel is labor, and you still have to buy the hub, and probably new spokes as well, the usual option is to build all new as opposed to reuse an existing rim.
Keep the old wheel as a spare, or sell it on. It should pay for the spokes or the rim at least.
LEDs are an excellent choice. They are very efficient, meaning you get the most light for the unavoidable dyno drag.
For all-out MTB riding, a dyno light setup might not be sufficient. They you'll either have to go full battery, or to a fancy battery-assisted setup. Dynos can be run to charge batteries too, giving you the option of having access to real powerful light for part of the time and still be indefinitely self sufficient with lights.
