CFL's actually reduce the amount of mercury in the environment because burning coal for the extra consumption of incandescents results in more mercury emission than a CFL...even if one didn't recycle any of the CFL's.
I've had one ballast fry so far, with the sweet, acrid burning plastic insulator smell. It was on my oldest set of bulbs, and was a known issue with them, although none of them caused fires that I'm aware of. It gets the attention, but is less of a fire hazard than a hot incandescent touching a flammable material...which is perhaps more common from what I've seen.Nearly all CFLs in the world are made in China, and most will last several years if used in a non-abusive environment. In recessed lights, base up they'll crap out sooner by cooking the ballasts, or wrecking the glue, particularly with 18W+ versions. (A typical 100W replacement is 23W.) But side burnouts like that are pretty rare, and SFAIK non have resulted in a house fire- just a fizzle & flash followed by the stink of burning electronic. No mercury is released unless you break the twisty-glass.