You can search for a place that recycles them by using the search tool at Earth911.
If you’re in NYC, you can also check out the NYC Department of Sanitation’s website for Household Special Waste Drop-Off Sites. Just make sure you look at the bottom of the page for the days they’re open (because it’s a strange schedule), what you’ll need to be allowed to drop off (such as ID and proof of address), and what the limits are for each type of special waste (you’re only allowed to bring two compact fluorescent lights per visit, for example).
Thanks in advance for recycling!

Just a cool pic I took this morning. Only with some creativity can you even try to relate it to this post.