EMI: CFLs vs Incandescent Lights in Your Lab?
The only time I have experienced the type of trouble you mention was in a room where we did measurements with radiated EMI up to some 100 MHz. Electronic ("green") ballasts were installed for the fluorescent lamps in there, and we could clearly see them (and not our DUT) on the spectrum analyzer. We went back to simple mains frequency chokes and things were a lot better again. I guess the same reasoning goes for compact fluorescent lamps.

Other than EMI measurements with test receivers or spectrum analyzers, I wouldn't expect trouble. Hacking radios with dimmed incandescent bulbs on in the same room usually is worse than interference from CFLs.