On the CFL box, they didn't tell you incandescents were free to run in the winter, did they? ;^)
You forget that the heat generated from incandescent bulbs is not well suited for domestic heating. It's not quite correct to say that "1 W of heat is the same as another 1 W of heat".
Home heating is intended to ensure comfort at occupation level (i.e. near the ground). However, ceilings are high, and hot air tends to stratify at ceiling level due to gravity. As most lighting is elevated, this merely heats the elevated air, which worsens the stratification trapping heat at high level and away from the occupants.
Most central heating (and portable heating) is operated at ground level, by placing the heat source at low level, it has an anti-stratification effect, which heats the whole room, providing comfort at low level, and avoids wastefully overheating at high level (this is especially important in upper floor rooms, under the roof, where the overwhelming majority of heat is lost).
Further, most central heating is not electrical resistance based, but instead uses a much cheaper fuel (such as NG/propane, heat pumping, or discounted-price electricity).
The use of full-cost electricity to power incandescent lamps, is a very expensive way to produce heat. The only way in which it is "free" heat is if your primary source of heat is electrical space heaters (and even then, you have the major disadvantage and inefficiency of thermal stratification).
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