They don't contain enough mercury to harm you just because you're cleaning it up. However, in some states it is now illegal to dispose of them (or any electronic trash) in the regular garbage because the mercury eventually leaks into groundwater.
Here's what EPA has to say:
"Always Dispose of Your CFL Properly
While CFLs for your home are not legally considered hazardous waste
according to federal solid waste rules, it is still best for the environment to
dispose of your CFL properly upon burnout. Only large commercial users of
tubular fluorescent lamps are required to recycle. If recycling is not an
option in your area (see below on how to find out), place the CFL in a
sealed plastic bag and dispose the same way you would batteries, oil-based
paint and motor oil at your local Household Hazardous Waste (HHW)
Collection Site. If your local HHW Collection Site cannot accept CFLs
(check Earth911.org to find out), seal the CFL in a plastic bag and place
with your regular trash."
http://www.nema.org/lamprecycle/epafactsheet-cfl.pdf