Summary and Comparisons
Incandescent bulbs are the least efficient of all artificial lighting options. Much of the power that drives them is wasted in the form of heat (we've all been burned by touching a hot incandescent bulb).
In my opinion, though, incandescent lighting is the most desirable form of artificial lighting. Perhaps there's something primal in lighting one's "cave" with a source which is a few oxygen molecules away from open flame, but the color of incandescent lighting is unparalleled - the best alternative sources can promise is to promise to be "indistinguishable from..."
Dimming incandescent lights quite significantly extends the life of the bulbs and reduces operating costs proportionately. Dimming will also push the color of the light further into the lushness of romance. For comfort and atmosphere, incandescent is still the one to beat.
Fluorescent lighting, including compact fluorescent lamps (ie, CFLs) are an incremental step in initial cost and overall savings - they're a bit more expensive than incandescent lamps, but last much, much longer. Their operating costs are also a fraction of the cost of incandescent lamps.
In my mind, the greatest downside to fluorescent lamps is that they have a tiny amount of mercury in them as part of the energy-to-light conversion process. Mercury is, legally, a hazardous metal; it's also a health hazard in the event of a broken lamp.
These factors make legal disposal of fluorescent lamps a bit of a headache. Disposal of fluorescent lamps in a landfill or dump poisons the land and, collectively, threatens the community water table. It's best to consult your local political jurisdiction for guidance on proper disposal of fluorescent lamps.