I just learned today that CFLs have mercury. Just a wee bit, but the official instructions are to try to ventilate your house if one breaks. Zow. It's less than a household thermometer, anyway. The big problem is getting them recycled. Most places don't make it easy at all- IKEA has a take back program, apparently, but we have no IKEA.
We haven't switched yet, because we keep seeing the cheap old fashioned kind right there and the price tags override our green intentions- which are lame as hell if you average them together. I care this much: "OMG Save my Goddess-Mother!!!!!!!!!!!!! Buy cloth everything* and clean the house with baking soda! Eat vegan and read by soy candle light!" and Bu cares this much: "meh."
When we get some, I'll have to figure out what to do with them after use.
GE's FAQ about the bulbs and their mercury content
EPA Statement about CFLs (pdf)
*I said I care that much, not that I've done all this yet. (Thinking guiltily of my Pampers...)