What's the first thing to do when you break a CFL? According to the EPA, you have to push everybody out of the room and open the window. These steps come from recently released guidelines from the Agency covering what to do when a CFL breaks in your home. EPA, of course, is worried about the one or two grams of mercury present in each CFL bulb. Fortunately, a hazmat suit is not among the recommendations.
You can find more such helpful hints on this page, along with a link to documents on CFL recycling: http://www.epa.gov/cfl/cflcleanup.html