With the number of lights in today's homes, this is a bigger deal than it may seem. A typical home uses about 10% of its energy for lighting, and some use much more. Switching to high efficiency lighting is $imply a good idea.
Many folks do not realize it, but incandescent bulbs convert 90% of the energy they use to heat rather than light. Obviously, this is wasteful. And in warm weather you also pay to air-condition away that excess heat. Besides that, incandescent bulbs burn out relatively quickly. By comparison, present-day CFLs use about 1/4 the power of incandescent bulbs, producing the same amount of lumens with substantially higher efficiency. And they last 10 to 12 times as long! CFLs cost about 50% more per bulb (though prices continue to come down), but offer about seven or eight times the hours of life per dollar spent on the purchase.
Over the last few years, CFL manufacturers have also improved the durability and quality of light produced by their bulbs. They have also created new styles that aren't "curly," and others that are shorter and/or narrower so they fit in older lamps and other fixtures. Dimmable versions are available, although they are more costly. Look for the Phillips brand. CFLs contain small amounts of mercury, so take special care to not break them. If you do, clean up like you would for an old-style florescent tube; carefully pick up large pieces using disposable gloves and then gently sweep up smaller pieces. Do not use a vacuum cleaner, as this will disperse mercury into the air. Dispose of the pieces properly at the designated station at a recycling site.
LEDs are another option for high efficiency lighting. Compared to CFLs, they use about 25% less power, last about twice as long, and have no mercury. Notwithstanding a new $10 bulb recently introduced, most LEDs cost substantially more than CFLs, resulting in 20% the hours of life per dollar cost. Therefore, at the present time (until we know more about the new $10 bulb), I recommend that LEDs primarily be considered for two types of locations: fixtures that are hard to reach, such as high can-style ceiling lights, and in fixtures that are the very frequently used, where the lower energy use will pay off the most.
Avoid halogen light fixtures. They burn so hot they are a fire hazard.
No primer about lighting should leave out some comments about "can-style" ceiling lights. They continue to be a favorite for a clean look. However, be careful to know what you have. In many homes, they present significant issues.
For a long time, manufacturers produced "cans" that were a fire hazard because they got so hot when an incandescent bulb was mounted in them. To keep them cool, they were designed to allow air to move through them. This causes two major issues. For one, you paid to condition all that air that is escaping. And even more seriously, indoor air is humid, and when this air moves into an attic or other cold place, that humidity condenses into water and sets the stage for serious levels of mildew, mold, and even rot. Not good!
Eventually, manufacturers began making air tight can fixtures, and most building codes require them. This reduces leakage (as long as the installer caulks between the fixture and the sheetrock!), but does not eliminate the potential fire hazard. More recently, ICAT (insulation contact, air tight) fixtures have become widely available; they stay cool enough (especially with a CFL bulb) to allow insulation to be in direct contact with them. However, since they are more expensive, they are not always chosen by contractors. My take: use them if possible, because they are well worth the investment, and consider the surprisingly affordable LED models.
In retrofit situations, installation of a new ICAT fixture can be prohibitive. For these situations, consider Tenmat brand covers for can lights. In some situations, notably for clearance issues, covers can be built (carefully) from sheetrock or other fire-resistant materials.