Replacing your existing light bulbs with compact fluorescent bulbs can save a good amount of energy. These bulbs tend to use about 25% of the energy of the usual incandescent bulbs.

The prices on compact fluorescent bulbs have come down significantly, and you can now get them at stores which sell things in bulk cheap (Walmart, Costco, Home Depot, etc).

The makers of the compact fluorescent bulbs claim some pretty big savings, but I don't think it's quite as good as they claim. Most of their claims are based on having every bulb on in your house for like 4 hours a day... not very realistic. For our house, I estimate that we use about 250 Watts in lighting for a four hour period on any given day (it's more in the winter, and less in the summer, but this is my estimated average). Over the course of a year, this comes out to about 365 kW*hours used in lighting the house. Reducing this to 25% of that saves 275 kW*hours of power. That's nothing to sneeze at.