I'm considering the LED mod just for the sake of being able to do a bit more EOC with lights on and being able to leave my parking lights on while stopped at stop lights without worrying about the drain on my battery. I don't see them being cost effective any other way, but if I can have my engine off for 15 minutes a day (total 1.4-1.5 hour commute time), at .25 gallons per hour, that's a savings of 15 gallons a year... in theory.
While I haven't ordered the car bulbs from
deal extreme, I've placed dozens of other orders with them over the last three years on various project builds (LED lights for 24 hour MTB racing). Right now I'm waiting exceedingly long (3 weeks) because international shipping is at a standstill because of the Al Queda package bombing threat, so just be aware before you order. Otherwise, shipping is $0.01 no matter how big or small your order, which probably makes their prices better than anywhere else you'll find.
My big issue is headlights. While HID may offer better performance and a tad bit of energy savings, LED would be the way to go. I'm likely to custom build something at some point because I can easily make a pair of 900 lumen LED lamps that consume 20w vs. 70w+ for a pair of halogens. I'd also have the option of building a low/mid/high beam configuration that could accommodate my needs, whether in city traffic, where I merely need to let my presence be known vs. being able to travel on highways with wildlife. The challenge remains fitting them in a housing that still allows you to bleed excess heat and focus/beam patterning. That's why I need to start with a set of lights from a junkyard, so I can experiment without risk of screwing up my one way of getting to work.