It's perfectly legal to toss them into the regular garbage - though you may want to avoid mentioning it to any of your friends with environmentalist leanings.
CFLs and traditional Florescent lighting contains a very small amount of mercury. Regulators like to keep these out of landfills for the risk (in aggregate) Mercury poses to the water supply.
You may want to contact your preferred hardware store to see if they'll recycle your bulbs for you. Most of the larger chain stores run bulb recycling at their locations. The City Parish keeps a list of businesses that will recycle all kinds of hazardous household materials at any time of year.
