For the most part, I think you can dispose of them at a local hospital or GP ('Medical Waste' is actually quite a big industry, they like to re-sell all of the fat sucked out of people). I'd double check in advance. If you're in the USA/Australia.. other western countries.. you can actually get a proper sharps tub from certain places given the prevalence of needle usage and our refusal to support shooting-rooms (backwards as fuck) . They put some money aside usually.. depends how rural you are.

I don't mean to sound like a douchebag, but if you can't afford a tub to throw your used needles into to prevent other people getting AIDS and Hep A-Z, then you probably shouldn't be pinning anything.