Doesn't using resistors serial to LEDs all the time waste a lot of energy?
Yes, it wastes power, but most of the time it's not enough power to matter.

In cases where effeciency matters, you use other more complicated means.  For example, take a look at the schematic for my KnurdLight example project.  This is battery operated and just about all the power is going into the LEDs.  In this case I used a boost converter that directly regulated LED current instead of a normal power supply that regulates voltage.  There is no series resistor to make a fixed voltage supply look at least partially like a current source because the power supply is a current source in the first place.  R6 is in series with the LED string, but is only 30 &Omega; and is for sensing the current so that the boost converter can regulate it.