CFL's depend upon mercury vapor to work. According to the EPA, the following are some health risks of exposure to mercury and mercury vapor depending upon levels of exposure.
Elemental (metallic) mercury primarily causes health effects when it is breathed as a vapor where it can be absorbed through the lungs. These exposures can occur when elemental mercury is spilled or products that contain elemental mercury break and expose mercury to the air, particularly in warm or poorly-ventilated indoor spaces. The first paragraph on this page lists the factors that determine the severity of the health effects from exposure to mercury. Symptoms include these: tremors; emotional changes (e.g., mood swings, irritability, nervousness, excessive shyness); insomnia; neuromuscular changes (such as weakness, muscle atrophy, twitching); headaches; disturbances in sensations; changes in nerve responses; performance deficits on tests of cognitive function. At higher exposures there may be kidney effects, respiratory failure and death. People concerned about their exposure to elemental mercury should consult their physician.
