... is that I've never seen one do this.

Update: I just talked to Sylvania. In addition to replacing this lamp and the one other failed CFL we have (a 40W unit that flickers), they want to see this one for a failure analysis. I rather expected they would, and I'm glad they didn't disappoint me.
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(Despite the energy savings, <Wife> will not let us convert our household to CFLs, citing concerns about their mercury content.)
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The mercury content of CFLs is really no worse than any other fluorescent light. For us, it's not just the energy savings, it's that with current generations of CFLs the light quality is SOOOO much better than incandescents. Incandescent bulbs - particularly US-market ones - have always looked dim and yellowish to me, and they look even more so now that I've gotten used to the "bright white" or daylight bulbs that we use wherever we can. Human eyesight is evolved for daylight, not for 2600K incandescent tungsten.
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I also need to do a little research and see if they have CFL's that will reliably fire in a cold (0 degrees fahrenheit) environment. I remember that being a big problem w/ the old ones.
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Relevant to your cold-environment question, we have CFLs in the outside floodlights at the front of the house, and use them mostly in winter (as it's then dark when people are leaving and returning to the house in the mornings and evenings). They do fire in winter conditions, but they need several minutes (instead of 30 seconds or so) to warm up to full output.
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We like the spectrum of the CFLs too.
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http://www.stuff.co.nz/4656117a6000.html
http://www.odt.co.nz/news/politics/18804/minister-denies-light-bulb-safety-issues
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I've seen incandescents do it. I've seen them detonated and the lamp damaged. This can be line noise, spikes, surges, lightning, etc.
It is entirely possible the market has driven any line irregularity protection out of CCFL devices but the bare minimum. Those really need a surge device and a snubber. Older ones had that and a voltage regulator. New ones that I've looked at had nothing though it was an no-name brand.
Incandescents can withstand moderate surge abuse because it's just a glowing piece of wire. It however is not immune to all of it.
There was a company that produce a button you could drop into a lamp socket that worked to suppress some surges. It only had a MOV and capacitor IIRC.
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Had this happen with the ballasts of a couple of GE CFLs.
I'm waiting for good LED replacements. I don't quite trust CFLs at this point, and they produce a lot of RFI.
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