Burning coal is basically burning the earth. Mercury is released into the atmosphere in the process, polluting the air breathed by adults and children living downwind. 
While many people are still convinced the mercury in compact fluorescent light bulbs is a serious hazard t health, it's captured in the bulb and easily recycled through local hardware stores. There is more of a danger from mercury in tuna than that posed by the release from a broken and carefully disposed bulb.
In fact, the amount of mercury produced by burning more coal to power inefficient incandescent bulbs far outweighs any environmental impact from CFLs. Low wattage bulbs, including LEDs, reduce pollution from burning coal.
Now a memory, this benefit came about after industry funded Republicans blocked legislation forcing the elimination of old technology filament bulbs, which are really just small heaters designed to also produce light. 
Removing coal from the grid is an even better step forward.