Where's your controlled, statistically significant comparative study data? Or are we supposed to go on an anecdote? Because we do have lots of data - for example, here Consumer Reports talks about their testing results.
Mercury? Every bulb CF tested contained less than 5mg. Let's go with 4mg as our figure (even though some are under 2%). 17-44% of said mercury will vaporize if you leave it sitting around for 8 hours. Let's say you clean it up and 10% gets into your air, which is probably a gross overestimate. What percent of that will you breathe and have actually get incorporated into your body? Probably in the low single digits, but lets be pessimistic and say 20%. So 80 micrograms. The mercury of a mere 1 1/2 cans of tuna.
But wait, there's more. The mercury in CFLs is "inorganic" (metallic, unbound) mercury, while mercury found in food is almost exclusively "organic" (methyl and dimethyl mercury). "Organic" mercury, being much more bioavailable, has many times worse health consequences per microgram.
The short of it? Don't stand in a closet and smash dozens of CFLs and then fan them while hovering over them and breathing deeply for a day or so. Otherwise, you're fine.