I'd be VERY careful. It depends on the amp. If your amp has no standby switch, then do not use a 5U4 or 5Y3. They are directly heated and will slam your tubes with B+ before they are warmed up.
A 5AR4/GZ34 is indirectly heated, which means it has a built-in time delay befoe it puts out B+ to the plates of the other tubes.
You can substitute a 5V4 safely for a 5AR4 if you want a little more sag. I run one in my JMI AC30. The 5V4 is designed like the 5AR4, but with lower voltage and less current output.
If you do have a standby switch, Steve is right about the current draw on the 5U4. The problem with a 5Y3 is that it only puts out 125 mA of current vs. 225mA for a 5AR4 and 175mA for a 5V4 at normal RMS voltages). For some amps 125 mA is not enough to run everything. So, again, it depends on the amp. A 5Y3 usually will be enough for a two channel amp running a pair of 6V6s or EL84s. But I wouldn't put a 5Y3 in a two channel amp that runs a pair of 6L6s or EL34s unless the manufacturer says it's OK.
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