While beautiful in their own right, classic incandescents use a lot of energy to operate. They also burn very hot, resulting in a very short life.
CFLs (Compact Fluoresent light bulbs) were made popular in the mid-late 90s and LEDs have become very common in the past few years. The now both offer affordable replacemens for your incandescent bulbs.
Using this energy savings calculator, you can quickly determine how much money you will save on an annual basis by switching over to CFLs/LEDs.