Not really. See, the electric company doesn't make anything off of electricity they provide to your house, just a "delivery" or "transmission" charge. Besides, if they can reduce the amount of power being supplied they won't have to purchase as much. Energy efficiency and conservation help the utility industries actually.
Edit: That reminds me, the new house is filled with incandescent. I'll have to start replacing them soon. I wonder where I can get a good deal on LED bulbs.
Then how do they make money?
Also, how do LED bulbs compare to CF? We've got all CF right now.