Most people transition to newer LED or CFL bulbs on a gradual basis as old incandescent bulbs burn out. Think about which lights are on most often in your home and start there. For many homes these are lights in the kitchen or living room. Another area that can provide some energy savings is outdoor lights especially if they are on all evening on a regular basis.
The other area we recommend doing first are any fixtures that are hard to access or require a ladder, switching these to a longer lasting energy efficient bulb not only saves money but saves the hassle of changing them on a more frequent basis.