Some objects require specific attention. Compact flourescent lamps (CFLs) contain small amounts of mercury, which can be released as a vapor if the bulb breaks, so it's important to recycle them properly (filament and LED bulbs do not have this same requirement). In fact, some states actually have laws prohibiting citizens from throwing mercury-containing bulbs in the garbage.
Some home improvement stores have drop boxes for light bulbs, so check with some of your local retailers. If this isn't an option, some manufacturers and a few nonprofit organizations offer mail-back services so you can return the used bulbs by post.