Similar to this question (except that's about cars), if I can buy more efficient light bulbs than the ones I'm using right now, should I? Or is it better to wait until my current light bulbs expire, based on the environmental cost of creating new light bulbs?
Consider the pay back time. high efficiency lights are expensive. Expense is, at least in part, a measure of the resources used to make it.
Replacing the fixtures in the kitchen where the lights are on 8-10 hours a day is probably a good idea.
Replacing the lights in the hall closet that runs 20 minutes a week is not.
Replace the lights in the high use area, saving the bulbs for reuse in low use areas. We have replaced all lights in our rooms in our house with screw in fluorescents except for the furnace room, one stairwell, and a few closets, and the front porch. No one makes a high efficiency light that works at -40. I think we have 5 tungsten bulbs still in stock. Once they are used up we will replace them with fluorescents or LED bulbs.
I'd replace working incandescent bulbs with LEDs. We did this in just one heavily used room (with about 300 watts worth of incandescent bulbs) and saw our electric bill go down. My husband did not like the light from CFLs in our "office." We ended up replacing various CFLs also except in cases where comparable LEDs were not readily available. (For instance, one of our light fixtures has five small CFLs that burn only 7 watts apiece. We could find no replacement.) At least in rural Iowa, LEDs seem to be less expensive all the time (i.e. under $2 as opposed to $8 or $9 a few years ago) and use about 11 watts to produce more light than a 75 watt incandescent. In short, our LEDs use half as much energy as our CFLs were using. On a nationwide scale, this is a huge improvement. Therefore, I have also switched CFL bulbs to LEDs as they became available. I wanted to support the technology and help prices come down.