LEDs offer more options for efficient lighting, but with the higher price tag, you should consider how you're going to use new bulbs.
A comparison of LEDs
To get a better idea of how different LED lights compare, I put three different bulbs in the same place and took pictures. This isn't a very scientific comparison, but it shows some of the different qualities of different LEDs, which of course apply to other types of lights as well.
On the left you can see a 40-watt equivalent LED bulb from Lighting Sciences Group that consumes fewer than than 8 watts. The color temperature on this bulb is 3,000 Kelvin, which gives off a white, rather than yellow, light.
Here is another bulb with a warmer color temperature and higher output rating. It's the Philips Ambient 12-watt LED that will be available next month in Home Depot stores and is available online now. It gives off 800 lumens, the equivalent of a 60-watt incandescent or a 14-watt compact florescent.
What's noticeable is the color temperature, which is 2,700 Kelvin and on the warm yellow end.
The light dispersal seems better as well than the previous image. LEDs give off directional light, compared with the even glow of CFLs. Another quality to consider when buying lighting is the color rendering index (CRI), which measures color accuracy.
Notice how the light is distributed here. Instead of glowing evenly, it's directed, which really is the strong suit of LED lighting along with efficiency. The light here is a downlight from Cree, available at Home Depot now, which gives off at least as much light as a 65-watt incandescent and consumes 10 watts. These are designed to fit into overhead cans.