CFL and LED use about 20% of the energy of conventional incandescent bulbs. If you have a lot of lighting, e.g. several outdoor lights which are left on all evening/at night, lights in corridors, and lights in living spaces, the savings mount up over the years.
Take a single 100 watt incandescent bulb in a room. If this is turned on for 4 hours in summer and 8 hours in winter, that's 6 hours on average per day, per year.
Total cost of energy at 12 c per unit is 100 / 1000 x 6 x 365 x 0.12 = $26.28.
CFL or LED gives an 80% saving in energy which is approx $21 per year for this example.
CFL lamps are more expensive at present than incandescent, and LED even more so. However the cost of LED lamps is dropping all the time as production increases and more people adopt this lighting technology. CFL lighting will eventually be replaced by LED which has several advantages over the former, including instant light availability and no warm-up period, long life (>50,000 hours) and no issue with mercury vapor content.
I don't know what the situation is in the US as regards displaying energy rating of appliances. In the EU, white goods must have a sticker showing the energy rating category, A being most efficient. Better insulation in fridges and freezers and less water use in washing machines result in less electricity being use.