For incandescent, the carbon footprint all depends on the source of your electricity, because the difference in efficiency is just enormous.
For CFL, it's a bit more complicated, but keep in mind that they do have quite a bit of glass (takes energy to make and form), need some mercury, and at least as much electronics (if not more) as LEDs. Furthermore CFLs don't necessary fail completely, but degrade over time. Thus they're a bit less efficient than LEDs to begin with, but a lot less after a few years.
So overall, unless the LED is so shitty as to consistently fail within weeks, there's no doubt their total energy bill is competitive, and it's even more clear if you limit the comparison to products of similar quality.
For CFL, it's a bit more complicated, but keep in mind that they do have quite a bit of glass (takes energy to make and form), need some mercury, and at least as much electronics (if not more) as LEDs. Furthermore CFLs don't necessary fail completely, but degrade over time. Thus they're a bit less efficient than LEDs to begin with, but a lot less after a few years.
So overall, unless the LED is so shitty as to consistently fail within weeks, there's no doubt their total energy bill is competitive, and it's even more clear if you limit the comparison to products of similar quality.