Incandescent bulb:
The filament is heated by electric current. It becomes hot and glows.
Most of the electrical energy becomes heat. Very little of the energy becomes light.
This method is not efficient.
CFL:
The electrical discharge through the gas in the tube produces UV radiation.
The radiation makes the phosphor tube coating glow.
A greater proportion of the electrical energy becomes light.
This method uses less energy to produce the same amount of light, so it is more efficient.
Read the wikipedia article (and follow the links to the different types of lamps):
https://en.wikipedia.org/wiki/Lamp_(electrical_component)