A little place called China where they make everything you own, as quickly and as cheaply as possible. I'm sure nearly all CFLs are made in China but you even picked the cheap brand. The guy in china making that bulb for 3 cents/day doesn't care if your house burns down.
With that said I don't think I have EVER had a CFL bulb last the claimed 8-10,000 hours on the package. I've had burned ones like you pictured more than once. Often the tube part just comes loose, but the bulb still works. This can cause a short. I keep all my old CFLs in a box because I haven't bothered to recycle them, and it's getting ridiculous how many bad ones I have now. Technically I've only been using CFLs for about 9 years so I should have never ever had to throw one away...they all claim something like a 10 year life span.