Wow thats true isn't it, I never really thought about that!Its not only that LEDs are more efficient than incandescent, its that a red LED puts out 100% red, as compared to having a deep red gel on it that may absorb 99% of the output.
One little clarification- (Although most of you already know this.)
The reason the plastic casings for LEDs are dyed different colors is simply to identify the color the junction inside emits. It does not play a role in the output color as they are monochromatic to begin with. Many high output LEDs come in a clear casing, as do multi-junction / multi-color units.