Answer-1) Your local garbage service
Probably the best place to start is with whoever currently picks up your household trash or recyclables. If you pay for this service, you'll almost certainly find a customer service number on your bill. Give them a call and ask if they offer CFL or mercury recycling. If not, politely suggest they do so. Here's an opportunity to write a letter, attend a meeting or take some other activist role in highlighting the importance of proper CFL disposal. The appropriate follow-up will depend on whether your trash service is privately or publicly held.
2) Municipal government
Whether or not local trash service is provided by a private contractor, your local municipality (city, county or parish) is ultimately responsible for waste disposal.
Most phone directories have a "blue pages" directory of local government agencies. Try the listing for sanitation services. While curbside recycling is by no means universal, your area may have designated drop-off locations or periodic CFL collections. Should your local agency not have any CFL-specific provisions, ask about safe disposal of mercury or fluorescent tubes.
3) Retailers
Unless you bought CFLs from Ikea, one of the first major vendors to offer a free take-back program, you're probably going to get some blank stares when you ask the manager of your local store about CFL recycling. It's worth the effort, though: retailers need to know their customers want safe disposal of the good they purchase. If you bought your CFLs from Walmart, consider contacting their corporate headquarters and asking that they establish a company wide CFL-return program.
4) Earth 911
Earth 911 is probably the United States and Canada's largest online clearinghouse of recycling information. Visit their site and enter "CFL" and your ZIP code in the "Find a Recycling Center" field at the top of each page. Alternately, try "mercury" and "fluorescent bulbs." If there's something in your region, it will almost certainly be listed. Earth 911 is currently attempting to expand its coverage to Europe, the first step toward an international registry of recycling options.
5) Commercial services
There are a variety of for-profit companies that provide CFL and fluorescent bulb disposal by mail. Failing a local option, these firms represent a responsible and environmentally friendly channel for CFL recycling.
Lightbulbrecycling.com, for instance, will send you a handy, postage-paid plastic pail which will accommodate about 30 CFLs — more than most homes will use in many years. Just drop your spent CFLs in their well-engineered pail, and call FedEx for pick-up. The downside is that the service is quite expensive: about $120 per shipment. At today's prices, this almost triples the unit price of your CFL. On the other hand, with the energy you'll save with each bulb, you're still ahead of the game. You'll also know for sure that your CFLs are being recycled in a safe fashion.