Like Mike said all of them are not made the same" tricky" . Seeing the op said they have resistor on them tell us what it is.
From Mike link
Buy one that accepts an unregulated input voltage. Otherwise, you can still have problems even if you run the device from a regulated power supply. All laser pointers and most (but not all) modules will be of this type. However, if you get a deal that is too good to be true, corners may have been cut. A proper drive circuit will be more than a resistor and a couple of capacitors!
To confirm that the driver is regulating, start with an input near the bottom of the claimed voltage range and increase it slowly. The brightness of your laser diode should be rock solid. If it continues to increase even within the supposedly acceptable range of input voltage, something is wrong with either the laser diode (it is incompatible with the driver or damaged) or driver (it actually requires a regulated input or is incorrectly set up for the laser diode you are using). Stop right here and rectify the situation before you blow (yet another) laser diode!