Once you've decided to replace your energy wasting incandescent bulbs with CFLs, you need to develop the right strategy. Ideally, you would like to replace all your bulbs at once, but some people may not be able to tackle this expense all at once.
When my wife and I bought our townhome in Feb. '08, I immediately starting looking for energy savings. Since we had to buy a whole lot of stuff (furniture, paint, Playstation 3's, etc.) I didn't want to buy all my CFLs at once. Therefore, I decided where I could have the most impact.
In my kitchen, I have 10 resessed lights that are all connected to the same swtich. The homebuilder put 60 watt bulbs in the sockets. So, when I spent an hour preparing dinner with the lights on, I consumed 600 Wh of energy (10 bulbs x 60 watts x 1 hr.)! Because there were 10 lights on one switch, I realized this was the area of greatest impact. I realized I could replace most of the 60 W with CFL's and it wouldnt hurt the appearance. I replaced all but the front 3 (most visible) with 14 Watt CFLs, a total of 7 bulbs. Now, when I prepare dinner over an hour I use 278 Wh (7 CFL x 14 Watt x 1hr + 3 bulbs x 60 Watt x 1 hr). This is a 54% realization in energy savings!
I also changed our living room lamp (which we leave on when we're gone for security), our main bathroom, my reading light and office lights, and hallway lights to CFLs. Basically, any lights that are on the most and longest should be the first targets for replacecements. When you do change out your incandescents, save them, and use them when other incandescent bulbs you are keeping for appearance burn out.
While changing all lights at once is ideal, taking little steps toward efficiency is your best shot towards substantial overall energy savings and a great way to help our environment!