CFLs contain mercury which makes them hazardous to dispose. Once a CFL reaches end-of-life, dumping it in general dustbin is a dangerous thing to do. Mercury getting into food chain is bad.
In India, it will take a while before mechanisms to recycle CFLs materialize. Till that time, users can store the used CFLs at home. A small box should do, as CFLs last long and it is unlikely that an average household accummulates a truckload of used-CFL.
My consciousness about this issue has been raised by following links: