Check out this informative article from Treehugger's website, How to Recycle Light Bulbs and Why You Should.
Many retailers and organizations accept burnt out bulbs. Search the following retailers and organizations to find a location near you, and call to inquire about their bulb collection options as they may change:
The Home Depot
True Value Hardware Stores
If you do not have these retailers near you, the Earth 911 website has a search engine to help you find other disposal depots in your area.