I started replacing my burnt out bulbs with CFLs about a year ago. Only difference I can tell is that there is a slight warmup time. They all go in fixtures w/ shades, so maybe that is why I don't really notice any difference.
LED is the way to go. They not only save money, but will likely outlast you, your home, and the current coastline. You do have to get used to the difference in light as it is actually white. Similar to the "blue" headlights you've seen on the road.