Incandescent bulbs are ordinary light bulbs. They can handle the daily rigors of on and off, so to save energy go ahead and flick the switch when you leave the room.
Fluorescent bulbs are a different story. Life expectancy can be drastically reduced if every time you left a room you shut off the lights. Thankfully florescent bulbs are commonly used in businesses that need light for an extended period of time. So it is recommend that if you are leaving the room for a long period of time, say overnight, flick the switch on your way out.