Indeed. The biggest single impact I could make in my domestic situatuon is to knock two degrees off the thermostat.
I reckon the house is at 22C and the average annual temperature must be about 10C.. going from a 12C difference to a 10C difference knocks 20% off the fuel bill - say around £300. That buys a few pairs of socks and a woolly jumper OK :D
CFLS make almost no difference...by the time they have had the extra heat they aren't producing replaced with heating oil..
I estimate that we average a KW of electrical consumption. Lights are not a huge feature of that - its probably mostly 24x7 kit - fridges, freezers, phones on charge, TV's on standby and PC's, the masthead amp for them, the PABX, ADSL router etc etc.
There is a case for extending a concept I had in one workshop. There is a large switch by the door, that is next to the lights. When its OFF NOTHING in that room is powered up.