Ist world - developed countries i.e. UK, US, Canada etc.
2nd world - former USSR and eastern block communist states, hence the term as gone out of use since the Soviet collapse.
3rd world - developing countries, e.g. India, Thailand, Kenya etc.
Compact fluorescent lamps are about as efficient as LEDs but are much cheaper. The light output of both LEDs and CFLs decreases as they age but CFLs will be replaced more frequently because they don't last for as long. Glass is the only real hazard posed by CFLs, there's hardly any mercury to worry about.
Traditional fluorescent tubes are still a bit more efficient than LEDs when used with efficient electronic ballasts but this might change as LED technology improves.