That depends -- the energy wasted by illumination needs to be cooled away (if you live in a climate where cooling is necessary, obviously), which not only uses energy but also increases the necessary size of the HVAC unit needed. This can be significant in places with a lot of lights so more applies to offices than residences.
OTOH, if you live in a climate where heating is necessary, and even more if you heat with electric heat, there's obviously little gain to be had by switching to LEDs.
It's a given that most bulbs are located on the ceiling, unless you have a fan to redistribute that heat to the ground you aren't feeling the warmth. Also, when lights are off you still need to heat the house. Unless you're using the bulbs during the day, your HVAC unit will need to be just as big.
OTOH, if you live in a climate where heating is necessary, and even more if you heat with electric heat, there's obviously little gain to be had by switching to LEDs.