A compact fluorescent light (one that is designed for the same socket as an incandescent globe) is not the most efficient light source, the Luminous Efficiency page on Wikipedia  lists a CFL as having an efficiency of between 6.6% and 8.8% while fluorescent tubes can be up to 15.2% efficient and low pressure sodium lamps are 27% efficient! But given that low pressure sodium lights are unsuitable for most uses due to being monochromatic and having a long warm-up time and the fact that fluorescent tubes are often not suitable due to design an 8.8% efficiency is pretty good. LEDs can give up to 10.2% (and prototypes offer 22%) but don’t seem to be available in a convenient and reliable manner (they are expensive and the ones I’ve tried have been unreliable).
When comparing fluorescent with incandescent one factor to consider is the power used. While high-temperature incandescent lights are quoted as having 5.1% efficiency and a 100W 110V tungsten incandescent globe is quoted as having 2.6% efficiency a 40W 110V globe will only have 1.9%. If you want to save energy then you probably don’t want to use 100W globes, using less light is the first way of saving energy on lighting! So the efficiency of incandescent lights used for the comparison should probably be closer to 1.9% than 2.6%.
Now the theoretical performance won’t always match what you get when you buy globes. There is some variation of quality between manufacturers and there are at least two distinct “colours” of fluorescent lights (one is about 5800K – similar to our sun, the other is something over 8000K – blue-white), I expect some difference in efficiency between lights of different colour range.
I see CFL lights marketed as being 5 times more efficient than incandescent lights, my observation is that they appear to be about 4 times more efficient (IE I replace a 40W incandescent with a 10W CFL or a 60W incandescent with a 14W CFL). Glen claims that an 8W CFL can replace a 60W incandescent globe, the only possibility of getting a factor of 7 or more efficiency improvement (according to the data on the Wikipedia page) would be to replace some 5W incandescent globes with CFL. In my experience (converting two houses that I lived in to CFL and the conversions of some friends) such an efficiency benefit is not possible on direct electricity use.
However in a hot climate any waste heat needs to be removed with an air-conditioner. So when a 60W incandescent light is replaced by a 14W CFL there is 46W of waste heat removed, with an ideal efficiency of a heat-pump it would take 15W to remove that heat from a building (and possibly more if it’s a large building). So in summer we are not comparing 60W to 14W, it’s more like 75W to 14W.
The issue of economics that Glen raises is more complex than it seems because governments often give companies significant discounts on electricity costs, EG in Australia aluminium refineries are subsidies heavily so they pay much less than home users. So hypothetically it could be possible to manufacture a device made entirely of aluminium which saves electricity (and therefore money for the user) but not enough to cover the electricity used in aluminium refining. However when we consider the margins of the various middle-men it seems quite unlikely that such a hypothetical situation could actually happen.
As for the issue of mercury in fluorescent lights there are two things to consider. One is that it is possible to recycle mercury (in Australia at least), the other is that coal fired power plants have a lot of mercury in their smoke…