LEDS and CFLs are both efficient light sources, and each has their strengths and weaknesses. CFLs are a very economical option, and work well in many lighting applications. However, only select models are dimmable and not all CFLs have instant-on technology which may take a few minutes to come up to complete brightness. They also contain mercury and therefore should be disposed of properly.
LEDs generally have a larger initial cost, but also last longer than CFLs. They are able to be dimmed and are also a better choice for outdoor fixtures if you live in a cold climate. LEDs are generally more directional in nature, but new technology advances are improving their omnidirectional (or all directions) ability.
Both technologies are great energy efficient options.