There is recent news that Compact Florescent Light Bulb's present a danger because of their mercury content.
The mercury content in one bulb is high enough to contaminate 6000 gallons of water.
Texas law allows these light bulbs to be thrown away in standard landfills. Some other states require these bulbs to only be recycled at proper recycling facilities.
To ensure proper clean up from a broken bulb you can visit the EPA's web site here.