A lot of retailers are promoting the more expensive, though longer-lasting CFL lightbulbs as an energy saver. Unfortunately, they also contain small amounts of mercury. Because the bulbs break in the trash or landfills, they are releasing mercury. The EPA has been working with retailers to institute a recycling program for the bulbs, but so far the only big retailer to do so is IKEA. (My aunt, who works at Home Depot's corporate office, tells me that Home Depot WILL recycle CFLs, so that's worth checking into).
Using regular lightbulbs also contributes mercury to the environment due to the mercury emitted when coal is burned...so less energy required, less mercury emitted...if you can recycle your bulbs. If you have the time, consider contacting your local waste management/recycling facility as well as the big box stores in your area to determine what laws regulate CFL disposal and to push for a CFL recycling program. My aunt, who works at Home Depot's corporate office, tells me that Home Depot WILL recycle CFLs.
If you're interested in reading more, I've attached some pertinent web links.
Wikipedia article on CFLs
NPR article/feature on Mercury in CFLs
How to handle "dead" CFLs