Much hay has been made recently in the energy blogosphere and the mainstream media about the milligrams of Mercury vapour contained in compact fluorescent lamps (CFLs). Mercury is used in the lamps because it's a strong emitter of blue light; street lamps used to be based on mercury vapour until the much more efficient yellow sodium bulbs came into effect.
CFLs shouldn't be thrown into the garbage or bluebox, for the sake of the health of sanitation workers who could build up their cumulative exposure around newly broken tubes. Fortunately, rechargable battery manufacturers have had to deal with similar issues with Nickel-Cadium cells. As such, they've created a database (http://www.rbrc.org/call2recycle/dropoff/index.php) of hazardous waste return sites. I've looked at the list for my area and a lot of these venues will accept not just batteries but also compact fluorescent lamps and presumably other small hazardous items, like old-style mercury switches used in thermostats and the like. On the issue of electronic waste, you're probably still going to have to do some hunting to find an appropriate depot.
So, next time you see a discussion of CFLs on the web, proffer up this link.