Tax Exempt Bond Funds: Are they worth investing in?

Looking to continue to diversify my portfolio and the tax man is always a major adversary. I've been researching moving some cash out of some Intermediate Core and Core-Plus bond funds and into Tax Exempt Bond funds in order to minimize the tax impact on the capital gains (this cash is not in a retirement fund). All of the tax exempt funds that I look at however the return is substantially lower than similarly invested bond funds that are not tax exempt. In your opinion, does the tax savings outweigh the loss of return on the investment?