... 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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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.