From the Green Guide:
The amount of mercury in CFLs is relatively small, approximately 5 milligrams (mg), which is roughly enough to cover the tip of a ballpoint pen, according to the Environmental Protection Agency (EPA). For comparison, older mercury-based thermometers contained about 500 mg, or 1/10th of a teaspoon. Even so, incandescent bulbs aren't entirely mercury-free. They require substantially more coal power to operate, which in turn releases much higher levels of mercury—along with other hazardous heavy metals such as lead and arsenic—into the environment via power plant emissions. From there, mercury travels to oceans and waterways, where it accumulates in fish and then returns to your home when those fish wind up on your plate. Depending on where you live (and the mixture of your local energy supplier), you could be releasing as much as 18 mg of mercury into the atmosphere to operate one incandescent bulb over its lifespan. A CFL, on the other hand, produces an estimated 4 mg over its lifespan as a result of burning coal (9 mg total when added to the 5 mg that exist in the bulb). If one billion incandescent light bulbs were replaced with CFLs, we could prevent 100 million grams of mercury emissions.