A CNN Money article has an interview with a woman who broke a compact fluorescent light bulb. Worried about the mercury levels, she called state officials. They did some tests and told her to have the room decontaminated by a hazardous waste crew to the tune of $2,000.
That level of reaction was completely unnecessary, as the article describes. While it's true that mercury is unsafe, Consumer Reports finds that CFLs contain very little of it. If you do break one, pick it up with a piece of cardboard and dispose of that. Also, open the window and put the broken bulb outside.
The article also notes that on net, CFLs significantly reduce the amount of mercury in the environment: coal contains mercury and is a main source of energy. In addition, CFLs are a significant money saver for households.
Sadly, some of the anti-government folks are up in arms about a federal mandate that would phase incandescent bulbs out starting in 2012. Europe has such a phase out starting now.