Then jam a carrot or potatoe into the socket itself and turn the metal bulb area out. this usually does work.
If that does not work, then get a pair of needle nose pliers and grab onto the lip of the metal bulb part and twist is into a small curl. Then this will give you a larger area to grap hold of, then, just start turning the metal bulb around and it will come out. This is actually twisting the metal into a smaller size for easily removal.