According to estimates of mercury exposure put out by the EPA, if you make the following assumptions:
1) If you use the bulb in a fashion that gets its expected life (eg. in applications where it is on for long periods, not turned on and off rapidly)
2) If you would use the incandescent bulb that you replace in the same fashion (so this doesn't fly if you take an 'on and off' incandescent and replace it with an always on CF)
3) If you dispose of the CF lamp in a landfill, and _all_ of the mercury in that CF lamp leaks out into the environment
4) Your energy supply is the 'average mix' found in the US
Then by using a CF bulb you will _reduce_ the net mercury leached into the environment for the production of light.
The reason is that we have so many coal fired power plants in the US, and there is a small amount of mercury in the coal, so when you burn the coal you emit that mercury into the air. The more electrically efficient bulb means less power used to produce the same light, and thus less mercury released into the environment. The total 'savings' of mercury on the power generation side is greater than the total mercury in the bulb.
There are lots of assumptions to make this assessment; for example other forms of power production put less mercury into the environment (making the CF look less healthy), but a significant portion of the mercury in the bulb remains bound to the bulb, even if cracked in a landfill (making CF look better).
-Jon