Compact fluorescent bulbs contain Mercury-- this is because when electricity is conducted through it, it creates ultraviolet light. This is converted into visible light by the phosphor coating of the bulb.
The mercury levels in these bulbs have traditionally been considered safe, but according to a peer-reviewed article in Environmental Engineering Science, these bulbs actually continually emit Mercury for months.
If you break a Mercury bulb, it's best to shut off your air conditioning, then open a window and air out the room for 5-10 minutes. Then, scoop up the big pieces with cardboard (don't use your hands, Mercury can easily enter your bloodstream if you have any cuts or sores on your hand), then pick up the smaller pieces using sticky tape. Do not vacuum, as this will mix the mercury in with the air.