Incandescent holiday lights are inefficient and can effectively be replaced with LED holiday lights. Because less energy is wasted as heat, LED light strings are also safer and pose less risk of fire. They last up to ten times longer than regular light strings.
Resources:
Consumer Reports: Holiday Lights: Incandescent vs. LEDs
Energy Star: Decorative Light Strings
Energy Star Qualified List of Decorative Light String Brands
Success Stories:
Little Falls, Minn. City of Lights - Saves $3000 Each Year
For more energy efficiency tips, check out Quick Tips for Energy Efficiency.