There are a lot of different light bulbs out there these days. The prices of light bulbs are almost as varied as the light bulbs themselves, but we're probably going to have to get used to paying more up front for light bulbs than we've been used to. As lifetime and efficiency of light bulbs increases, so too do their initial prices.
Incandescent Light Bulbs
For the past 100 or so years, the ubiquitous incandescent light bulb has been the cheap go-to light bulb. Other than terrible efficiency relative to compact fluorescent light bulbs and LED light bulbs, incandescents have never really failed at their task of providing light. The incandescent energy efficiency issue was not made apparent until the proliferation of energy efficient light bulbs. Until then I think people were just happy having light available at the flip of a switch!
Compact Fluorescent Light Bulbs
Now compact fluorescent light bulbs and LED light bulbs are strengthening their position in the light bulbs ladder. For nearly every incandescent out there you can find an equivalent (and usually better) energy efficient light bulb that uses at least 75% less energy to provide the same light. Currently the best value for quality of light, lifetime, and energy efficiency goes to compact fluorescent light bulbs. They've had a long time to be researched and developed and it shows in current iterations. Color temperature availability, dimming capability, and energy efficiency make compact fluorescent light bulbs worth every penny.
LED Light Bulbs
LED light bulbs boast nearly all the benefits of CFLs while doing away with the negatives, such as mercury content. LEDs contain zero mercury and can be thrown away as any other piece of trash when the time comes. Although they are by far the most expensive up front, these light bulbs are looking to be the main replacement of compact fluorescent light bulbs. This comes closer to being a reality with every price drop, but LED light bulbs proliferation is still a long way off.