No experience, but from what I've seen LEDs are a little more efficient than CPF. Both are much more efficient than incandescent. LEDs tend to be on the small side for total light output, and very directional. LEDs last much longer, and don't contain any mercury like CFL (not a problem if you recycle) I think LEDs are quite a lot more expensive but this could change.
-James
No experience yet. But I stopped at the store the other day SPECIFICALLY to buy an LED light. I discovered that the LED light was about 10X the cost of the CFL equivalent, so I went with the CFL. I think LED prices will come down with time, but right now they semm rather high. At times, however, we need to go with "state of the shelf" rather than sate of the art.