#1 If you paid more than $1.25 for them, you paid too much. I wouldn't call that expensive
#2 Take it back and get an exchange if you really had one die that fast. I would still be willing to bet the # of duds you'd get from incandescents is far higher than CFLs.
#3 They really do save a ton of money. My electric bill is down on average 20% in the 4 months I've been using them and I've only replaced 2/3 of my bulbs so far. They paid for themselves in their first month.
Old bulbs cost 20 cents each and last 3-6 months. These new bulbs cost $1.50 each. Do the math and figure out which is cheaper.