We have been systematically changing ALL the lightbulbs in the house to Compact Fluorescent's CFL's over the last few years.  Doing this and reducing our phantom load by using powerstrips on our entertainment center(s) cut our bill by 25%.  This was not hard at all.   Here are some of the improvements I've noticed over the years:

1) instant on - the newer CFLs come on much quicker than the old bulbs I was using. 
2) the CFL downward floodlights work great in recessed lighting
3) there are now DIMMABLE CFL's - these work pretty well.  They don't seem to have infinite settings like incandescents, but they're not bad.  
4) small ones for Cieling fans

There are 88 bulbs in my house (thanks to multi-bulb installations in every darn bathroom). Some are halogen, most were incandescent when we moved in. If all these bulbs were 60 watts and on at the same time... 5280 watts!

We have since replaced 40 bulbs, so we're down to 88.  The flourescents aren't cheap, so the key was making sure we replaced them in high-use areas like the kitchen, bedrooms, and offices.  I didn't bother with the basement bathroom that gets used once a week, but I did make sure to replace them in "hidden" areas like the laundry room and the garage - places that might have a light left on, unnoticed, for hours on end.

Do what works for you, but please do it soon!  It's the easiest change you can make to reduce your carbon footprint.