While we love compact fluorescent bulbs, it's absolutely tragic (and dangerous) when one breaks. Not only have you lost $3, but you're now inhaling toxic chemicals. Luckily, with a few extra bucks, we don't have to worry about broken bulbs.
ClearLite makes a CFL bulb that has an unbreakable safety shell, preventing mercury from escaping. Even if the bulb inside shatters, the ArmorLite's silicone skin stays intact. As you all probably know already, standard CFL bulbs can shatter easily, which then requires anyone in the room to open the windows and leave the room for 15 minutes.
ArmorLite CFLs are available in "natural soft white" and "natural brite white" and sell for $8. Aside from the price, the other bummer is that while standard CFLs can be recycled, the silicone skin on the ArmorLite requires extra steps in the recycling process. It's unclear, in the quick googling I did, whether or not those extra steps are available in current recycling programs.