The Boston Globe has a story that mentions safe ways to dispose of broken compact fluorescent light bulbs to reduce your exposure to mercury.  Here is an excerpt:

"If a bulb breaks, get children and pets out of the room. Ventilate the room. Never use a vacuum - even on a rug - to clean up a compact fluorescent light. Instead, while wearing rubber gloves, use stiff paper such as index cards and tape to pick up pieces, then wipe the area with a wet wipe or damp paper towel. If there are young children or pregnant woman in the house, consider cutting out the piece of carpet where the bulb broke. Use a glass jar with a screw top to contain the shards and clean-up debris."

Despite these clean-up techniques, researchers still found high levels of mercury in the air after a bulb break. So it's really important to ventilate the room.