Yesterday Neutral Existence published an interesting comparison of incandescent, compact florescent (CFL), and LED light bulbs. Looks like CFLs come out on top, with incandescent in last place. The blog post also points out that LED bulbs have less mercury in them than CFLs, and that LED bulbs may get cheaper over time.
I've never tried LED light bulbs (and only recently bought my first CFLs), but I have an LED flashlight, and I like it. It doesn't seem to focus light as well as a traditional (incandescent) flashlight, but it's pretty bright, and I never have to worry about replacing the bulb. And the batteries seem to last a long time.