An LED light string uses only a fraction of the power needed by an incandescent string. According the U.S. Department of Energy's Energy Star program, that means the seven watts of power used to produce the light of just one incandescent bulb in a conventional light string can light two 24-foot strings of LEDs totaling 140 bulbs.
The heat produced by incandescent bulbs is not only a waste of energy, it's the primary source of the fire danger from Christmas lights. LEDs don't melt other ornaments. They don't burn anyone's hands. Electric lights were a significant safety measure when they replaced lit candles as holiday decor; LED lights take that a step further.
LED light is generally more focused than incandescent light, and less diffused. You may need to use more strings to really light up a tree.
Baby boomers may remember "bubble lights" that included columns of liquid that came to life as the bulbs below warmed up. Whirligig ornaments could be hung above lights whose heat made the vanes of the ornaments turn. LED lights will not support such displays.
While they are cheaper to power than their incandescent counterparts, LED lights are more expensive to purchase. Incandescent lights, especially in strings, are becoming difficult to find in the 21st century, but they're still generally cheaper to buy than LED strings of the same length.
LEDs generally produce a light closer to the blue than the red end of the spectrum of visible light. This makes them lovely in displays meant to suggest snow, icicles, or stars, but not so good at that warm red or golden glow. Encasing the LEDs in lenses, including those the size and shape of old-fashioned incandescent Christmas lights, helps.