I collect mine in a big box along with other odds and ends (bits of electronics with lead, nicad batteries, unused paint, cleaners and solvents -- all the stuff I don't want to end up in the soil or water table).

Unless the glass is broken, the mercury is sealed inside, so there's no rush to deal with them.

Where you take them depends on your local jurisdiction. Some towns, counties, and small cities offer a "toxic roundup" once or twice a year. Larger cities may have permanent locations for collection of such items.

I think if you dig into the local phone book and call around, somebody will point you in the right direction.

I've heard many "big box" retailers will take them back if there is no other local option. But I can't swear to it.