I looked briefly into the history of toothbrushes and was reminded of the chewing sticks that you can still pick up at Pennsic War (or in my case, at my local open source tech cafe). There's a commercial version called the Natural Toothbrush that seems to, erm, have a handle on this problem, as demonstrated in their how-to video:
It's a great idea, but if the demo is accurate you can only brush the fronts of your teeth, so I don't think it's all that helpful unless you're Robin Hood. However, bamboo seems a much better option for creating a compostable toothbrush - and at a fair price, as well.
If composting is not an option but you're still bothered by the waste, I think the Preserve's toothbrushes are the bomb. They are made of number 5 plastic (best known for yogurt cups), which is usually too much of a pain to recycle, but they created their own recycling program to ease that pain. The brushes come with a mail-back pouch if you order them online (and as a promotion they're even paying the postage), and they accept number 5 plastics at Whole Foods so they can make more. Shoppers can only drop yogurt cups and Preserve toothbrushes in the bins, because most brushes are made of unknown materials in China, which is apparently the toothbrush capital of the world. Preserve makes all its products in the United States, which has the added bonus (for me) of reducing the energy impacts of shipping them.
What makes me love Preserve even more is the toothbrush subscription program that I've signed up for. I'm a good enough Pagan to note the passing of the seasons, and I use solstices and equinoxes as a time to christen a new toothbrush. However, I procrastinated at Yule until well after the summer solstice, so obviously I need a little more help. Thirteen bucks gets me four of them, shipped every three months, with mailers to return them for recycling.
I have to admit I'm intrigued by that bamboo toothbrush, but the fact that I have to contact them special for a shipping quote makes Preserve a better option for me at the moment. I will evaluate again in a year and see which choice appears to leave no trace. In the meantime, though, I have found a list of uses for old toothbrushes which will come in handy, even if none of the options are "bury it in wax."