First of all they will last up to 8 years before they burn out. Second, they use a fraction of the electricity as a regular incandescent light bulb. Third, they do not give off the heat like an incandescent bulb.
I have installed CFL's in over 75% of my house, and noticed a $30 drop in my electric bill the first month. Add that $30 up over a year and the bulbs are paid for, and start saving you money every month after that.
Here is the first rooms in your house you should change, and go on from there:
Use your best judgement as to which lights you use the most, and change those first. I did my children's bedrooms first because they always forget to turn the lights off. If you don't like the light that they give off, spend a little more for the premium bulbs that can cast a pure white or golden light into your rooms.
Where to buy CFL's: IKEA has the cheapest prices I have seen yet. Otherwise watch for sales at your local home improvement stores (Menards, Lowes, Hope Depot etc). Discount stores carry them too, but they don't go on sale as often (Target, Walmart, K-Mart etc). You can also do a search online and find some good deals too. But be sure to figure the shipping price in too.
Now get out there and by your new bulbs and help the environment.