"Compact Fluorescent Bulbs can be taken to the Larimer County household hazardous waste center, located at the landfill. You may want to call them first, 970-498-5773, since some lamps have such a minute amount of mercury that they can go in your household trash. I don’t particularly like doing that, but the lamps themselves have very little salvage value."

The above information was sent to me by an anonymous 'reliable source'. Thank you, Bruce :)  

The following is from http://blog.wakeupwalmart.com/

In January 2007, Wal-Mart announced it had set a goal of selling 100 million compact fluorescent bulbs this year. But, even after two months, Wal-Mart has refused to adopt a national recycling program to deal with the serious environmental threat posed by the mercury content contained in the CFL’s.

Without a national recycling program, Wal-Mart’s efforts to sell 100 million CFL’s could result in the spreading of an estimated 227,273 pounds of mercury into American households. In addition, Wal-Mart has not publicly committed to selling only low mercury fluorescent light bulbs. In fact, the fluorescent light bulbs available for sale at Wal-Mart have a higher mercury content than similar fluorescent light bulbs available for sale at other retailers...