Quite literally the less heat they emit per unit of power they consume the more efficient they are, so this is very much an area were getting the more efficient LED light bulbs (which in the consumer space are the filament ones) will both reduce heat waste AND save you power per unit of light emitted.

(In fact you should select these things on light emited - i.e. lumens - rather than on wattage and even for the same lumens aim for the fewer watts as possible since that means they consume less for the same results, which, as pointed above, also mean heat emission as that's literally power being wasted)