Compact fluorescent light bulbs contain a small amount of toxic mercury, but manufacturers consistently decrease the mercury levels. The mercury will be released, of course, if the bulb breaks. However, the mercury is not a threat if the bulbs are properly disposed or recycled, which is not as complicated as some suggest.
If a bulb breaks, simply open a window, sweep up the pieces and put them in a bag. Ideally, you would then save the scraps and take them to a Home Depot or other store that collects CFLs for recycling.