I'm sure I'll be writing a fair amount about CFLs on this blog, because even though they make so much sense, there still seems to be a fair amount of misconception about them by some in the public.
The biggest drawback to these light bulbs is the small amount of mercury contained in them. As stated in this handy factsheet created by Energy Star, the average CFL contains 4 milligrams of mercury.
I know you're scratching your head trying to visualize 4 mg. Remember the old thermometers you had to stick under your tongue when the "hand to the forehead" wasn't enough. That contained 500 mg (125 CFLs) of Mercury! That's not saying the Mercury in CFL's doesn't matter, it just means that we have to be reasonable with objections.
So, what happens when your CFL finally burns out? Well, since you have to go buy some more, take it to Home Depot and have them recycle it for you!