Luckily, a quick google search for compact fluorescent bulb recycling brought me to earth911
It's a pretty cool website, that lets you know where to recycle different things. I just typed in "Compact Fluorescent Light Bulbs," typed in my zip code, and found out the nearest Ace Hardware to recycle the bulb.
Next time I need to recycle something, I'm definitely going to use earth911 again, it's a pretty cool website. They even have an iPhone app called iRecycle, so you can use the phone to find out where to recycle different things.