We finally had one of our compact fluorescent lamps (CFLs) go out and were in a quandary about how to dispose of it. We found out we could take it to Home Depot.
If you have similar questions, go to Earth 911. Just type in your zip code and the item you want to recycle, and they give you a list of places where you can dispose of your item.
Sure makes it easy to be green!
More on recycling: