Contact your local solid waste collection company and ask about their policies for CFL disposal. In some cases, your garbage service might collect spent CFLs if you take special steps like bagging them separately.
Call your city or county government offices, and ask if they offer a CFL program at local recycling centers. Although this isn't as easy as dropping the bulb in the trash, recycling centers take many different items, so you may be able to take care of multiple household items that are waiting for disposal.
Take the bulbs to a local retailer that collects them for recycling. For example, hardware stores like Home Depot and housewares stores like IKEA accept spent bulbs as a customer service. You can also use Earth911 or the EPA's website to find commercial locations that accept spent CFLs in your area (see Resources).