I take it you are just talking about conventional domestic lighting only.There are three common choices, since quartz halogen lamps are still in use.For the same lumen output, LEDs are lkely to give you the best energy saving. This will hold true if the quoted lifetime of an LED lamp holds true, bearing in mind it is a statisical value, I have had LED lamps fail within a few months, others from the same manufacturer are still OK after a number of years. In this case they were on the same circuit, so were on for an identical time.Cost wise CFLs are cheaper, but LEDs are catching up, the quoted dollar/life time value is better for LEDs.Both types contain small quantities of heavy metals, so there are environmental issues, CFLs contain mercury as well, so LEDs win in that respect. LEDs tend not to be as fragile as CFLs, as anyone who has dropped or tried to remove a failed CFL that has stuck in the socket will know.
Light dimmers and LEDs may also be a problem in existing wiring setups, most will now work with dimmers, but they don't neccessarily operate like a tungsten lamp.I leave it up to you to draw your own conclusion. There is quite a bit of info on the web, just be aware that some of it is from businesses with an agenda.Cheers,Richard