You can’t just throw them out, if you have older strings of lights, which contain Compact Fluorescent Lightbulbs, or CFLs. We all have to be very careful, as they may release mercury into the environment, if they are broken.
Yahoo says, if you have old working lights, you could consider donating them to thrift stores such as Goodwill.
And if you have lights which no longer work you could bring them to hardware stores such as The Home Depot, Lowe’s and Ace Hardware, to recycle them properly.
The EPA also suggests you contact your local recycling service, to see if it is accepting working or non-working Christmas lights.
If you have no other way to dispose of them, you could also mail them to Christmas Light Source, which offers you ten percent off your next order of string lights to replace them.
There’s more, here: (Yahoo)