I've been corrected on this in the past about these answers being too simplistic, and feel a need therefore to post up.
All the energy used in either an LED or incandescent ends up as heat at some point in the process. The more accurate question I think is "what is felt immediately as heat emitted directly from the source". Most of the answers above relate to that, basically, you really feel the infrared directly more immediately than other wavelengths.
There are many other factors though in this question. Even UV emissions eventually result in heat, infrared feels hot "immediately" due to molecular reactions with the skin cells etc, but UV knocks electrons around their orbits, and as those settle down the result is felt as heat. (Think a sunburn... when in the sun, you are "hot" immediately (step from shade to sun).. what you feel at that moment is infrared... stay out for 60 minutes at noon and go inside, and a few hours later your skin still feels "hot"... the infrared effects are long gone, what you are feeling now is the resultant heat from the UV energy that was absorbed at the atomic level as the atoms settle back down.
Here is a link I found awhile back that covers it better than I can:
http://hyperphysics.phy-astr.gsu.edu/hbase/mod3.html
All wavelengths/photons interact at some point with other objects, and generally result in eventual heat production.
The other part missing really, is the efficiencies, it's been touched on, but if you want the visible light output of a 5-watt incan bulb (for arguments sake at 15 lumens/watt = 75 lumens), you only need a fraction of a watt equivalent LED (75lm/100lm/watt = 0.75 watts) = . So the LED really DOES generate less heat (less power input = less total output) for a given lumens output.
At both = 5 watts input, in a closed system (not looking at electrical losses elsewhere, etc, assuming the direct-to-source is 5-watts), both will be generating the same output energy, which at some point is going to stop and result in heat production. The LED emits a larger proportion in the optical wavelengths that we desire from them, but ultimately, it all converts into heat.
Light is just a form of energy, and when energy is absorbed by impacting a substance, the result is heat production (or given enough energy, atomic changes to modify the underlying matter, but otherwise all of it eventually results in heat.) Ultimately at the end of enough time, the universe will just be black and full of a bunch of jittering particles scattered throughout space, too far apart to interact, too cool to radiate any energy in the form of light radiation, etc. Not to get too existential on the subject, LOL.