I live in Phoenix and their response to my inquiry about recycling is that yes, they do recycle DE blades, as long as they're in some (probably appropriately-labelled) container so the sharp edges don't protrude. (YMMV, so you may want to check in your area)
And yes, it's best to use the plastic blade slot in the package or use a blade bank.
Regarding which blades, I've been using Dorco T300s my barber gave me to try. They're not the sharpest, but they're sharp enough for a DFS every time (YMMV -- technique, technique, technique.) (and prep!) ;-)
http://archives.wittenburgdoor.com/archives/lastword-164.html
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