Yes, but that doesn't mean you shouldn't use them. CFLs do contain some mercury. This amount has gone down a lot in the last couple decades, but it is still enough that they require special disposal. Contact your local recycling center or use Earth 911 to find a local disposal center.
As far as the environmental impact, these bulbs still make sense because of their lower energy usage. Coal-fired power plants also release mercury into the atmosphere. So using more energy from them by burning incandescent bulbs is not only contributing to climate change, but also releasing mercury into the air.
So stick with the CFLs, just be sure to dispose of them properly.
Wood-burning stoves for heating is touched on a bit in the Emerging Technologies section, but because we talk about Geothermal heating and cooling here, we thought we'd touch on it here as well.
Wood-burning stoves can be a sustainable way of heating your home, depending on where the wood came from. It's pretty complicated and depends on a lot of different things. In general, burning wood from your own property (or friend's property) that was acquired as a result of thinning or finding dead or fallen trees is very sustainable.
If this is not the case, you need to be aware of where the wood comes from, if new trees were planted, if your demand for that wood is causing other people to go cut down living forests, and a number of other issues. Basically, it gets a lot more complicated and is not something we are going to go into at the moment.