The Environmental Protection Agency says that since CFLs contain a small amount of mercury, there are important guidelines to follow for correct disposal.
It recommends that consumers take burned out bulbs to local recycling center or even local retailers. Here's a list of some retailers that will recycle your CFL bulbs:
Other local locations can be found by visiting Earth911.com.
If your state permits putting CFLs in the trash, seal the bulb in two plastic bags and put it in the outside trash.
For more information about CFL bulbs, visit the EPA's website.