Personally I love the heat that an incondecent bulb emits, I can actually keep my hands warm on my keyboard while lowering my room heat. 75 watt bulb with heat versus a 3000 watt space heater.
In the UK, for example, during winter (and spring and autumn) the heating is appreciated! However, it is 2-3x more costly than using gas central heating. (However however something something whole house vs room-specific heating.)
In the summer, it’s a complete waste though.
Directed infrared heating panels may be the most efficient because they do what you describe - heat you up directly, rather than heat the air in the room.