Incandescent bulbs can actually be more efficient heaters, than such convection heaters as baseboard heaters, or forced air heat. If you use one as a reading lamp, it radiates heat on you, as you read. Radiant heat makes you feel warmer, at lower air temperatures, compared to convection heaters.
Around here, we need some supplemental heating at least 8 months of the year. The CFL bulbs save us absolutely nothing — except for our porch light, of course.
In the winter, I use one in a goose neck desk lamp to keep my mouse hand warm.