You can’t just throw them out, as if you have older strings of lights that contain Compact Fluorescent Lightbulbs, or CFLs, you 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 contacting your local recycling service to see if it is accepting working or nonworking Christmas lights.
If you have no other way to dispose of them, you could also mail them to Christmas Light Source, which will give you ten percent off your next order of string lights to replace them. There’s more, here: (Yahoo)