Not all LED bulbs have heat sinks. It depends on how much you are trying to "overdrive" them.
You can make a bulb with lots of small LEDs placed far enough apart that heat doesn't build up, or you can use one more powerful LED with a heat sink to spread the heat away.
As you start to go above 5W per bulb then heatsinks become commonplace... Under 3W not so much.
The key thing to note in this regard is that typical household bulb replacements (replacing 60 watt or 100 watt bulbs) are at least 6 watts per bulb. Several of the ones I've gotten are 6.5 watts -- they claim to give the same lumens as 40 watt bulbs, but actually they're more like 100 watt bulbs when new.
(The reason for this, I have concluded, is that all of the lumens in the LED are in the visible range, and a lot of the lumens in an incandescent are not in the visible range.)
Only if you're replacing small ornamental bulbs or smaller bulbs in "chandelier" fixtures with numerous bulbs are you going to get bulbs under 3W. (Which I've done.)
I actually replaced all my fully enclosed fixtures so that I could retrofit my house with LEDs. This was probably a good idea. I wouldn't worry about semi-enclosed fixtures, however; I have recessed canisters, and I have lights inside a bathroom exhaust fan housing, and the LEDs (with heat sinks) seem to be happy in both.
I *do* have one question for everyone, however. I have outdoor light fixtures which are designed to take standard A19 bulbs. I can find outdoor-rated incandescents, I can find outdoor-rated flourescents, I can find outdoor-rated LEDs *in other form factors*, but I cannot find an outdoor-rated A19 LED. Does anyone have experience with this, or a pointer? I don't want to replace my outdoor fixtures, and I don't want to destroy my bulbs with moisture and temperature fluctuations. The fixtures are solid on the top, glass on the sides, and open on the bottom (result is that I can't put in anything other than A19 form factor, and I do need outdoor-rated bulbs).
I have kept the light in my stove hood as an incandescent, because I am unsure how masses of grease and hot smoke would affect an LED (probably pretty badly).
Apart from that and the outdoor lights, I'm all LED now. This was actually done not just for energy efficiency. My fiancee is photosensitive and
LEDs put out no ultraviolet, unlike CFLs and incandescents. Her first reaction was "the light doesn't hurt!" The energy savings are a nice bonus.