An incandescent bulb contains a thin metal wire that heats up when electricity is passed through it. When the temperature becomes hot enough, it produces a glow. They tend to produce quite a bit of heat over time.
A compact fluorescent bulb (CFL) consists of a metal tube that is filled with argon gas. Electricity passing through the gas causes it to glow. The tube also contains tiny amounts of mercury and a coating of phosphor powder to increase the light that is emitted.
An LED works on the same principle, only the glow is produced by passing an electrical current through a semiconductor material. CFLs and LEDs produce more light and need less electricity to do so.