The few CFL lightbulbs that I have seen dead had different visual symptoms.
One had black rings at the base of the bulb glass. It looked like a regular florescent tube with dark ends as it goes bad. If memory serves correct, this was a high duty cycle fixture - it turned on and off a lot.
One had significantly yellowed plastic at the vent between where the two ends of the glass entered the base. It had a distinct burnt electronics smell too it. The newest bulbs may no longer have this vent.
The third type of failure I have seen was a catastrophic failure of the glass bulb. I turned the light on and the glass jumped right off of the base. I think it had been struck and had cracked. Turning the light on finished the job and the bulb broke in half. There is a mercury exposure risk to this type of failure.
I usually put a light into a small clamp-light to test used bulbs before putting them into a difficult to reach fixture. They have such a long life, I've broken more than I've had burn out.