Many local governments collect and recycle trees in early January. If you use a private trash service, call and ask to have your tree picked up. If you live in DC, set your tree out wherever your trash is usually collected between January 2 and 19, and the Department of Public Works will recycle it for you. More details here.
If you miss the dates for local government pick up, you can buy a chipper from a hardware store and grind your own mulch. If that’s too pricey—chippers are priced as much as $500 at Home Depot—there are also commercial and government-run pickup sites. Plug your Zip code into the Earth911 Web site to find nearby tree-recycling services.