First and foremost, they are made of mixed media. This includes the metal socket and glass bulb of conventional incandescent bulbs, but to this we add a plastic casing which contains an electronic circuit. The only way to separate these 4 components in the waste stream is through manual intervention; furthermore, the electronic circuit in itself is not recyclable. The subject of recycling CFLs is so problematic that it is carefully avoided in all pertinent literature, even in the papers published by the Rocky Mountain Institute (a reference in environmental impacts of energy use/sources - this reference as of September, 2009).
But even if everyone were to bring non-functioning CFLs to specialized collection sites (i.e. not mixed with any other material whatsoever), their disassembly and separating the components would be very costly, and the plastic, electronics, and "toxified glass" would be very difficult to recycle. In contrast, the glass and metal in an incandescent bulb are easily separated and recycled: metal is pulled out by magnet, and the fine glass is rapidly ground down to silica.
Consider next the fact that we had a perfectly operational industry for manufacturing conventional incandescent lightbulbs, which we are replacing with much more complex and energy consuming processes to produce CFLs. Add to this the carbon cost of transport (CFLs are about 5 times heavier), and you'll see plainly that there is no way that the environmental cost of this change in our industrial processes will ever be offset by the lower energy consumption of CFLs.
Finally, the main argument used to push CFLs has been that incandescent lightbulbs use about 5 times as much energy for an equivalent amount of light; this additional energy is emitted in the form of heat. However, in parts of the nation where heating systems are in operation for 6 months of the year or more (i.e. more than half the USA), one must consider that the heat emitted by lightbulbs offsets that emitted by the heating system.
Accurate energy calculations are extremely complex. But it is quite clear that CFLs will not reduce the carbon footprint of the US, but rather increase it in the long run. What we need is a complete paradigm shift in our lifestyle.
Consume less, share what you can, repair when possible - and smile! Simple steps to sustainability!