Scientific American explains, in detail, what to do if one of your new congressionally mandated light compact fluorescent bulbs happens to break:

Jim Berlow, director of the U.S. Environmental Protection Agency’s (EPA) Hazardous Waste Minimization and Management Division, recommends starting by opening the windows and stepping outside. “Any problems at all frequently are handled for the most part by quickly ventilating the room,” he says. “Get all the people and pets out of the room for 15 minutes and let the room air out. If you have a central heating system or an HVAC [heating, ventilating and air-conditioning] system, you don’t want it sucking the fumes around, so shut that down.” The important thing is not to touch the heavy metal (mercury). After airing out the room, the larger pieces of the bulb should be scooped off hard surfaces with stiff paper or cardboard or picked up off carpeted surfaces with gloves to avoid contact. Use sticky tape or duct tape to pick up smaller fragments; then, on hard surfaces, wipe down the area with a damp paper towel or a wet wipe. All materials should be placed in a sealable plastic bag or, even better, in a glass jar with a metal lid. “If it gets in the jar, that’s pretty good containment,” Berlow states. “We’ve found that the plastic bags actually don’t contain any mercury fumes, so absolutely, if you’ve got the plastic bag, get it outside when you’re done.” Vacuums or brooms should generally be avoided, as they can spread mercury to other parts of the house.

UPDATE — From a reader:

So if you break a superbulb during February in Duluth, you’re supposed to shut off the heat and open all the windows. Then after 15 minutes, close the windows and turn the heat back on.
This is done to conserve energy.