In a traditional aircraft the majority of the power from the engine is used to keep the aircraft moving forward at a certain speed. Very little of that power is actually needed to create lift.
Consider a simple paper airplane. It flies for a long time with no engine at all, until the drag on it causes it to slow down and if loses lift and descends to the floor.
In the hands of a skilled pilot, gliders can stay aloft for hours with no engine at all.
I'm not going to get into the argument about whether wings work by directing air downwards or not because it is simply irrelevant. The basic truth is, when a wing is oriented in a way that it provides lift when moving forward, all you need the engine to do is drive that wing, and the rest of the aircraft, forward at that speed.
The wing and the body of the aircraft create an effective drag as they are pulled, or pushed, forward and the engine needs only to create that amount of force so as not to slow down. That force is A LOT less than you need to lift it directly.
Most aircraft engines simply do no have the thrust force to lift the aircraft on their own. During early aircraft development many attempts were made to do so and failed because engines of sufficient strength simply were not available.
Wings had been around a long time before the Wright brothers came along, but flight was unpredictable and uncontrolled. The first true aircraft was invented because the brothers discovered and invented a mechanism to allow them to control the wing(s).
In short, it is far easier to provide lift with wings than by using thrust vectoring.
HOWEVER: At this point you are probably still scratching your head wondering how you can lift an aircraft without actually getting that amount of power from the engine.... So let me try to explain.
Let's say you have a car, and I tell you to lift it 6 feet... Well, unless you are this guy it's just not going to happen...
But what about if you do the following?
Well, you might complain and be out of breath, but you can see how, if the ramp were a long enough slope, you could use our muscles to get the car up to that height.
Because we are slow-moving creatures we think of air as nothing at all. However, air becomes a different thing when you try to move it out of the way very quickly. It becomes significantly "hard".
An aircraft in flight can therefore be thought of climbing an air ramp as shown below.
The aircraft and wings cut through the air reasonably easily, but the air under the wings, and body, acts like a ramp. The bigger the wings, the harder and more solid the ramp. This provides the lift.. keeping the aircraft up.
Of course the ramp is not solid, and effectively drops as we push the aircraft forward. In other words the aircraft is dropping and climbing at the same time. When in level flight the ramp is dropping at the same rate as the aircraft is climbing it.
What that means is the wings give you the mechanical advantage of using a ramp to reduce the force needed to perform work. Ignoring drag, the work required is the same as if you lifted it vertically, but since you spread the work over a long forward distance the effort required from the engine is divided significantly.
Now is that more efficient? Well, traditionally ramps and other mechanical advantage devices are less efficient than a straight lift because there are losses involved in extra friction in the apparatus.
However, vertical propulsion based lift systems themselves are horrendously inefficient.
As we discussed about, air is harder to move the faster you try to move it. This means doubling the power of the engine does NOT translate into doubling the thrust, it is more of a exponential function. That is, you need to burn more than twice as much gas to get double the thrust.
Worse, for any given engine, there is a limit to how much thrust it can produce. Eventually the air cavitates in front of it. It will, if it can turn fast enough, suck ALL of the air from the intake so fast that a vacuum forms. At that point the engine is starved of air and can go no faster no matter HOW MUCH fuel you pump in. That means, in order to get more thrust, you need a bigger engine, which means more weight, which means you need more thrust.... Do you see where I am going with this?
And remember, that is just to keep you up, you still have to use more power to go from point A to point B.
As such, even with the drag losses, winged flight still uses a lot less gas for any given journey distance.