
The EPA's site is a good one to keep on file anyways, but this will link you to the page on recycling hazardous materials (ie: CFL bulbs). Hope you find it useful.

According to CFLBulbs.com you can make a difference by eliminating the pollution of ONE MILLION cars by replacing your old bulbs with ONE CFL!
Reduce emissions!
Reduce your electric bill!
CFL's typically contain about 4 mg of mercury —enough to cover the tip of a pen. The amount of energy that is saved by using one of these bulbs outweighs the environmental costs substantailly.
According to EPA, a "power plant will emit 10 mg of mercury while producing the electricity needed for one incandescent bulb over the course of its lifetime. A CFL, in contrast, would result in the emission of only 2.4 mg of mercury over the same period - a net savings of 3.6 mg per bulb"
*photo courtesy of homeconstructionimprovement.com