If you want cheap light at very low power levels a light emitting diodes (LED) of various colours is probably the cheapest to make & run & they can flash.
The most efficient light source to run is the low pressure sodium (LPS) lamp - up to 200 lm/W - 27–29% efficiency - which are yellow.
There is research in progress into OLED (organic light emitting diodes) where higher efficiency seems expected.
The cheapest light to make in terms of basic manufacture is fire - yellow - but in terms of energy efficiency it is very inefficient.

The visible photon with the lowest energy would be red. The measure of light output compared to energy input for a device is luminous efficiency. The most efficient common source is low pressure sodium (27-29%). LEDs get as high as 13%, with some prototypes up to 22%. See the reference for more examples.

goober is right the lowest energy visible color is red, although there are colors of light such as the infrared man cannot see.. Red has the longest visible color wavelength ;it has a lowest frequency of visible light

I believe that the sodium vapor lights that are used for street lights,etc are quite efficient. The light is orange (sort of).

red has the lowest energy per photon emitted