I'm also (gradually) switching to LED bulbs. I seem to have much better success with CFLs than many, most of my bulbs are several years old and even some of the first set I bought (4-5 years ago now?) are still working. However, I have definitely started noticing the "dimming" effect. While they're still working, they start out much dimmer when I first turn them on and don't get as bright once warmed up.
I hate throwing something out that still works... Grr...
So far the LEDs are fine, although the oldest are only 2 years old. One of those has been on nearly 24x7, a 2W model on my front porch. Another, a 12W "60W equiv", has seen a lot of hours in my living room, that light tends to be on anytime I'm home and awake. Only "issue" I have, is the 12W ones have this 1/2 second hesitation between flipping the switch and illuminating! I'm used to it now, don't really notice it, but at first it was jarring. Not sure why, I have smaller ones of the same design that don't do it!
All my LED bulbs are Phillips brand, couple different designs (the higher-wattage are the ones that look like a heat sink with three yellow patches for the LEDs, the lower-wattage ones look like regular light bulbs with just a little heat sink at the base). Got them at Home Depot, have to catch them at the right time. It doesn't appear to be a sale, I've never seen a sign indicating that, but one time I'll go in and the things are out of sight expensive but next time I go in and look they're half that price and in my acceptable range. Not sure what they're doing...!
My main reason for going LED is because I try to run off-grid as much as possible with my solar system. Not sure I'd really notice the difference between LED or CFL on the electric bill. I don't have that many bulbs going at one time.