Not only is HPS 20-30% more efficient on a watt-per-watt basis in putting out light, but the spectrum of light from an HPS is better too.
Contrary to popular belief, on a watt-per-watt basis CFL lights DO NOT run cooler than HPS lamps. Both will convert most of their power draw into heat, and if you're running a few hundred watts of either one, you're going to be making a lot of waste heat.
CFLs will give you a little more flexibility in setting up really tiny grows, and the low cost of the bulbs and sockets mean the STARTUP costs are lower. If you need to get started with only $30, yeah, you can do that with CFLs, but that's really the only advantage.
In the long run, whatever savings in money you have setting up a CFL system, you'll more than make up with increased yields and improved quality with an HPS system.