Compact fluorescent lamps [1] (Olmsted County Hazardous Waste Facility [2]. You are limited to recycling 10 bulbs per day per visit, and only CFLs are accepted (there will be a small charge for other types of fluorescent lighting).
The Olmsted County Hazardous Waste Facility is located at 305 Silver Creek Road, N.E. in Rochester. Here is a map. [3]
Links:
[1] http://www.rpu.org/your_home/rebates_and_incentives/conserve_and_save/cfl_faq/
[2] http://www.co.olmsted.mn.us/health/hazardous_waste.asp
[3] http://maps.google.com/maps?f=q&hl=en&geocode=&q=305+Silver+Creek+Road,+N.E.,+Rochester,+MN+55906&sll=44.034542,-92.424889&sspn=0.037825,0.050211&ie=UTF8&view=map&ll=44.034542,-92.424889&spn=0.009458,0.012553&z=14&iwloc=addr&source=embed