It's true, actually. The liquid form (in thermometers and so on) is pretty much harmless. What is harmful is what our government will potentially force on us. These new compact fluorescent lamps all contain mercury vapour. That is easily inhaled and potentially dangerous to be exposed to. Small children may be especially suspectible.
The phrase "mad as a hatter" came about, because inhaling mercury fumes given off in the felting process would eventually give most of them brain and central nervous system damage. That is not the same as the poisoning from acute exposure, but you get the general idea - it's not good.
The hazard only really comes if one of these lamps is broken in an enclosed space. However, should that occur, extreme caution should be exercised. The space needs to be vacated immediately, aired out thoroughly and not used for a period of days.
This is what our benighted, enlightened government is foisting on us, all in the name of global warming!
