hard to prove which is more harmful definitively.
Increase power demands require more coal to be burned, which releases more mercury and other chemicals into the air, which then finds its way into the water. The water in the Catawba River is so bad that people are advised not to eat the fish. Keep in mind that is the water people are drinking.
CFL bulbs are only harmful in your home if you break them.
Neither is CFL or incandescent bulbs are really ideal.
LED bulbs can finally be had for under $10 if you purchase online (under $20 in stores). Hopefully within the next few years they'll be under $5. I feel like that is the threshold where most people will finally be willing to buy them.
CFLs also release mercury into the environment when they are disposed of improperly.
I agree that while they save a ton of elecricity, CFLs are really not the best answer.