There should be a center in your area that will accept them. Traditionally, people put them in the trash, but you are correct in that they do contain a small amount of mercury. Visit the EPA's Web Site to find a recycling location in your area.
We usually wait until the town does a special drop off event, but I heard Lowes will recycle them for you. I have never checked on this, and it might just be certain Lowes locations, but it's worth a phone call.
Also, if the bulb is already broken or shattered, please just dispose of it in the trash. Seal it in a separate plastic bag if necessary. The health risk from the minimal amount of mercury present is far outweighed by the danger from broken glass.
I think any store that sells fluorescent bulbs is required to accept them for recycling. The same is true for batteries.