Have a circuit that tells you when the system (battery) voltage drops below a certain level. Having an LED turn on when this occurs is simple, and only requires a few extra parts. You could even have a buzzer inside chirp at you to make sure you notice.
If this were wireless, I'm pretty sure I'd not use that feature, though I'm sure it'd be nice to have for some. The best way to make sure your batteries don't run out is to use wired power during any critical task (like WoW raids, etc.) or to have such superhuge batteries that it's no issue. I really want to measure my model F-122 internals to see if D batteries will fit in there. Having a portable, wireless, behemoth is so awesome, it must be made.