I’ve seen people and companies selling energy efficient bulbs recommend that you go through your house and replace all you bulbs right away. Compact fluorescent light bulbs consume much less energy than a typical incandescent bulb but I don’t recommend pulling out all your bulbs and replacing them all at once. I haven’t see any research on this but I suspect the effort that goes into creating these more complex light bulbs and getting them to market probably consumes a fair amount of energy. This is wasteful unless you have something to do with the old bulbs besides filling up a landfill. Maybe donate them to a church or school or use them in a rarely used place like the light on a pull chain in a closet or the attic. But if they still work no sense in junking them all.
Replacing them all at once can also be expensive. Compact fluorescent bulbs cost considerably more so I would recommend just replacing your old bulbs as they burn out. You could also move your bulbs around so you use compact fluorescent bulbs in lights you use most often and put the old bulbs in rarely used lights to live out the rest of their lives. They will probably pay for themselves in energy savings over time but unless you have a lot of bulbs that are on all the time I don’t you aren’t going to see a drastic change in your electric bill. Every little bit counts though.
The U.S. government has also past regulations that will phase out the sale of incandescent bulbs in the U.S. by 2014. So you might as well do the environment and yourself a favor and start switching out those old light bulbs now.