How quick are you talking about?

In general, LED technology is much more efficient than an incandescent light of about equal output. Some LED lights also have circuitry that will extract as much power out of the battery as possible, whereas incandescent lights will often get down to point where the bulb is very dim, but the batteries still have quite a bit of capacity left.

However, as has been pointed out, there are some LED models that do "eat" batteries. If you crank up the power on a light, it's going to go through batteries quickly regardless of whether it is LED or not.

Surefire makes excellent lights, but most models are fairly high output and will also tend to use up batteries fairly quickly, too. So, keep that in mind before you purchase one so that you are not disappointed by the runtime.