One of the downsides to compact fluorescent lights is the mercury inside the bulb. The amount of mercury required has been going steadily down as manufacturers have cranked up their R&D budgets and looked for ways to do more (light) with less (mercury), but the problem still remains.
Conventional incandescent bulbs don't need mercury, but they do play a part in its release into the atmosphere -- burning coal releases mercury into the air. The extra electricity an incandescent bulb uses over its life is responsible for making a lot more mercury than the amount found in a CFL bulb.
Treehugger's Graham Hill has the numers: a CFL has around 3 milligrams of mercury that can potentially spill out if the bulb is broken or burned, but over 13 milligrams of mercury is emitted to power an incandescent bulb. Incandescent bulbs produce more than four times more mercury than CFLs.
CFL bulbs with mercury are a stepping stone to a toxic-free, bright tomorrow, a necessary step that we'll leave behind as soon as technology allows. LED lights are the greenest option on the market right now. They don't have mercury and can last 10 times longer than even the long-lived CFL bulb, but they come with a much higher price tag.
The bottom line is, if you have any old-fashioned conventional light bulbs in your house, switch 'em out for a CFL, or an LED if you can float the premium. And when your CFL bulbs do die, recycle them to ensure that zero milligrams of mercury is put into the environment.