Are LEDs expensive? Considering Philips is about to launch an 8.5w bulb that's as cheap as some of the 4w Chinese bulbs I've bought over the years... I don't think they'll be "expensive" for much longer...
LEDs are a bunch of diodes, a circuit board and electronics. That's always going to cost more to assemble than a single wire sitting inside a vacuumed-out glass ball.
I love LEDs. Have had color issues with the cheap ones, so I'm currently switching to white. I tend to buy bulbs that are coated... so technically less output per watt, but they aren't eye-searing to look at... and are still more efficient than CFLs.
Since I started installing them three years ago, I've only had one go out... and that one was in an outdoor socket exposed to potential water contamination from rain.