If you have a Home Depot, they take them for recycling.
tips from US EPA board:
http://www.epa.gov/cfl/cflrecycling.html
Ace Hardware, Home Depot, IKEA, Lowe's, Orchard Supply and other retailers offer in-store recycling.
Some bulb manufacturers and other organizations sell pre-labeled recycling kits that allow you to mail used bulbs to recycling centers. The cost of each kit includes shipping charges to the recycling center.