How dangerous is it if the gas from an energy saving (spiral) light bulb escapes while in use?

I have been by this set alight bulb for a while without any problem. All of a sudden the bulb made this hissing sound and lots of white smoke was released into the air. It had some chemical smell to it too. I unplugged the lamp and place it outside. I opened all the windows and had a fan pushing air out of the room.
How perilous are these set alight bulbs if the mercury gas escapes from them? Is there enough gas in one set alight bulb to be perilous? Must I worry about my other energy saving set alight bulbs? What makes the bulb break up like that? I had my kid in my bed when this happened. Must I be apprehensive about her breathing this stuff? We got out of the room within seconds, but we still breathed some of it.
Sorry for the multitude of questions: I’m apprehensive.
Thanks to anyone who answers.
P.S. There was not anything other than the lamp shade around the bulb or on the lamp.

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