Few ideas:
1) Wait until they come on sale, and buy a ton. Within a year or so, you could probably replace most of the bulbs in your home at a more reasonable price than if you just walked in today and got everything.
2) Go the intermediate route. Pick the fewest number of high-use bulbs. Likely places such as, kitchen table, living room, maybe a desk lamp you work on a lot, etc. Replacing these, even at a slightly higher cost, will give you the biggest savings in the shortest period of time since they are used the most.
Do #2 immediately, and #1 as you find reasonable deals. The reason I don't think it makes sense to go all LED on anything but a new house that you are building is that the cost of LEDs will likely come down faster than you will realize savings by buying a bunch of bulbs today for lights that you don't use very often.
Today, LEDs are more on the side of a "luxury" than a true investment, because the payoff is not that significant compared to CFLs... again, highly dependent on how heavily you use certain lighting.