2. Your local Household Hazardous Waste collection site
Old compact fluorescents fall under the government's Household Hazardous Waste (HHW) category. (Other HHWs include used motor oil, paint, pesticides, and solvents.) Your community may have a facility that collects HHW year-round, or you may see special collection days advertised in the local newspaper. Contact your local municipality or trash collector to find out when they accept household hazardous waste like CFLs.
3. Mail-in programs
With mail-in programs, a company or organization sends you a box, for a fee, that holds several CFLs, which you then fill and mail back to them. The company or organization then recycles the CFLs. This is in some ways the least attractive option, because it can be pricey.
Sylvania offers several recycling kits. Their consumer CFL kit costs $16.95 and holds 12 small compact fluorescents, so you're paying a little over a dollar apiece to recycle them. On the bright side, shipping is prepaid.
Think Green From Home, sponsored by the mega-garbage pickup company Waste Management, offers a similar deal. For $16.95 you get a prepaid shipping box that holds 13 compact fluorescents.