Comparison pics as promised...
It was kind of weird, with the naked eye I couldn't tell much difference between the xenons and the Malibus (incandescent), but you can see the difference in the photos. I went with the xenons for now because they're supposed to run cooler and look whiter than incandescent bulbs. If/when I go to HIDs I'll give the LED route another go; there's just no question that LEDs look better with HIDs. In the interim I may try the Silverstar Ultra headlight bulbs that Mile High and etlsport suggested.
Summary: The OEM fog lamp bulbs are terrible and should be replaced as a matter of general maintenance/up keep IMHO. If you don't plan on going HID pick Malibu or xenon, if you are going HID pick a LED bulb. If you do go with LEDs, learn the lesson from my purchase and make sure you buy a voltage regulator/protector/equalizer if one isn't integrated into the bulb.
EDIT: Forgot to add prices. I got both the Malibu and xenon bulbs at Home Depot. The xenon bulbs were made by "Feit Electric" and cost $4.95 each (ouch). The Malibu's were $4.95 for a 4-pack (xenon cost hurts even more now). Depending on vendor, the LED + protector solution will probably run around $30.