[*]They do contain mercury (though as Klipstein points out, far less than regular fluorescent tubes, and their energy savings helps to reduce mercury emissions from coal-fired power plants, at least in theory)
But, it puts the mercury in the home, potentially, where it is more likely to hurt children and adults.
Arguably, the amount of mercury, lead, etc. on earth is constant. The argument against leaded fuels, paint, and solder is not that they increase the amount of lead in the environment as a whole, but that they change the distribution to where people are. Why doesn't the same argument apply to the politically favored CFL too?
John