Some devices will last longer if they're never turned on (some other devices will fail prematurely if they go too long without being turned on).
More to the point, if a 100-watt light bulb in a closet is used an average of 5 minutes per day (hardly an unusual situation) such a bulb will use one kWH every 120 days. At $0.10/kWH, that would be $0.30/year. Even if one could replace the light with a magical perfect light bulb which provided just as nice light, used zero energy, and never wore out, such a magical light bulb would in absolute practical terms not be much of an improvement over an old-fashioned incandescent. If the new improved light bulb cost $5, it would take 13 years to pay for itself, even ignoring the opportunity cost of the capital.
Rejoice: Incandescent Light Bulb Ban Suspended as of 12/16/2011.