My new CFL energy saving bulbs are too warm, are they all like that?

Jeff D is right: look for the "color temperature" on the package.

Sometimes, they are also marketed with labels such as "cool white" (2700 deg), "bright white" (3500 deg), and "daylight" (6000 deg).

My local Home Depot has a nice side-by-side display showing all three right next to each other. It makes picking the right one very simple.

Both the other guys are right, and I'll add that you might have to hunt for the Kelvin number, but it's probably there. They seem to want to hide this info from us consumers. I found it in small print on the bottom of a box of CFLs, somewhere near the bar code and much smaller. Not on the front or top, where it said "daylight" or something vague like that. You might have to go as far as opening the box and checking the base of the bulb itself. I have 5000K bulbs in my kitchen, merely to light the hell out of the place when I'm working and want to see very well. I wouldn't use that high anywhere else. Has about the same ambience as hospital operating room lighting. Very very white, with a tinge of blue. For average room lighting, stay lower.

No, fluorescent bulbs can range from warm to cool to "daylight".

Look at the color temperature of the bulbs you purchased. It can vary from about 2700 K to over 5000 K. 2700 K is the warmest (yellowish) and is probably what you have. Try something in the 3000 K to 3500 K range and see if that's more to your liking.