LEDs are certainly expensive, but have a few advantages.
Depending on the cost of electricity in your area and the type and amount of heating you require, LEDs might not be a bad idea. They are getting less expensive as manufacturing processes improve. With LEDs it is possible to target the exact spectra of light that plants can use. I have a couple T5 fluorescent and recently bought an LED grow light for comparison purposes.
A couple observations I've made:
1. If the only light turned on in the room is the LED, plant leaves look almost pitch black. This is because they are absorbing a very high percentage of the light that hits the leaves. The reason they are green in normal circumstances is because of the light they cannot use and therefore reflect.
2. These lights have a high lumen output, but are barely noticeably warm to the touch. This is due to their high efficiency.
I don't need these lights to generate any warmth, and electricity is expensive where I am, so for me, I've been pleased with the results. Also, I'm not just starting seedlings for a month or two, I'm growing plants indoors for the winter, so we're talking about 5 or 6 months of 16 hours a day per year, so that is significant. That being said, it will still probably take several years to break even given current prices.