I've had great luck with the new "curly" bulbs. I started swapping them in as old bulbs burned out over three years ago and I don't think one of the new ones has burned out yet. And that's in light fixtures that are on almost constantly when I'm home. I have a pretty good idea of how many old-school bulbs I would've gone through in that time, so, yeah, in the long run they will be inexpensive.
Aside from the fact that I've bought them all with special "introductory" coupons that saved me around $1 a bulb, plus the fact that our local electric company is sending out boxes of them for free every year to customers just to encourage their use.
Haven't had any problems like what GR describes yet, but then I've got so many of them on hand ATM that I can change a burned out bulb as soon as I know it's shot so I don't know that it's something I'd worry about.