Switching off the light will result in less energy being consumed, so it will always result in lower electricity bills. In terms of both total overall cost to yourself and any impact on the environment, however, you have to factor in the life of the lamp itself. If the lamp needs to be replaced more frequently due to regular switching on and off, then anything saved on keeping it burning for longer is completely absorbed by the cost of more frequent replacement and all the associated manufacturing and disposal issues. Compact fluorescent lamps in particular are best left switched on unless the "off" period is going to be reasonably lengthy.
Even a regular filament lamp can have its life shortened by excessive switching on and off unnecessarily. Have you noticed how often a bulb blows at the instant you switch it on? It's the thermal shock of the sudden inrush of current on a cold filament.
I've known people who will switch off all the living room lights just to visit the bathroom for two minutes then turn them all back on again. The tiny amount of power saved for that two minutes is completely negated by the extra strain on the lamps.
It really comes down to a happy medium. If you're leaving the room for an indefinite period, switch off. If you're going to be back in 10 minutes, leave them on.