Every few years a Christmas ornament will break in my household when it's time to pack away the tree. When this happens, sweep the shards onto a wet paper towel and use a lint roller to pick up any tiny fragments of glass left behind.
This tip comes from cleaning weblog Clean My Space in their 12 Days of Clean video series. The reason for wetting the paper towel is that glass sticks to a wet paper towel better than a dry equivalent.
12 Days of Clean: Safe & Quick Broken Ornament Clean-Up [Clean My Space]