Woah! I had no clue. I've used my teeth to try and pry a bulb out of its socket thing to replace it. (I'm not usually a tooth person but you know, sometimes it's necessary.) I've never read any warning labels or anything... maybe I should look closer.
In California, a proposition passed through some time ago that forced the makers of Christmas lights to put a warning on the boxes saying that there was lead in them. Otherwise I would've never known.