Home Depot and Lowe's are taking CFLs for recycling no charge, except that some of the stores hadn't been told and you might get a blank stare.
For those with no stores nearby try entering your zip code here to get the closest recycler to you.
http://earth911.com/
LEDs are definitely the way to go but not until the cost comes down. Cost benefit analysis over the life of the bulb shows that cfls are currently the best over incandescent or LED.
Currently payback analysis shows the following:
It takes a year of use for CFLs to beat incandescent.
It takes 4 years of use for LEDs to beat incandescent.
It takes 30 years of use for LEDs to beat CFLs.
As LEDs come down in price that will change.
LEDs are great for places that are almost impossible to reach since you may never have to replace them.
Over 90% of lights in my house have been changed over and I save a noticeable amount on electricity. The downside is they aren't as bright as the equivalent when first fired up but tend to get brighter the longer they're on.
Where I need brighter light I use something like a 30w equivalent to 120w inc. Farmtek has them for $10 off.
http://www.farmtek.com/farm/supplies/ProductDisplay?catalogId=11551&storeId=10001&mfPartNumber=CLL106147&isClearanceItem=true&langId=-1&division=FarmTek
There are also dimmable CFLs now.