Like with other electric or electronic devices and items there are differences between the different types of light bulbs. The different sources of light are based on different technical constructions. Some of it use mercury and contain electronic components. So apparently they have to be disposed and recycled differently at the end of their lifetime.
Here a sum-up:
Incandescent and Halogen lamps
Neither Incandescent bulbs nor halogen bulbs contain electronic components. This means there is no need for special recycling.
Fluorescent lamps, Compact Flurescent lamps (CFL) and Energy Saving lamps
Fluorescent lamps, Compact Flurescent lamps (CFL) and Energy Saving lamps contain mercury and electronic components. So apparently they have to be properly recycled. Means: Take them to your closest recycling collecting or any electronics retail store at the end of the life time free of charge (in Switzerland)! Yes, because you paid the recycling tax already at the time of the purchase.
LED bulbs don’t contain pollutants like mercury. But the light-emitting diodes (LED) of course contain electronic components. Therefore bring them to a gathering point for electronics recycling, or place of purchase after the bulb has reached its lifetime. As like with the CFL and Fluorescent lamps also LEDs must be take back or recycled free of charge for you, because you have already paid the recycling charges at the time of purchase.
More information (also on what to do in case of CFL and fluorescent lamp breaks visit: http://www.slrs.ch/index-de.php?frameset=30 . EU sites on the subject are: www.elcfed.org , www.celma.org, www.zvei.com or www.zvei.org/en/homepage