If the lights are rated at 12V you should only use them with a transformer, otherwise there'll be an almighty bang when you switch them on.
With lighting it's the power (Watts) you should look at, the more watts a light uses the more energy it consumes. There's lots of different types of lights now, halogen which gives very a bright light to energy saving which gives a soft glow type of light. The energy saving ones are best if you want to run you lighting as cheap as possible.