I've had this problem with screw-in lamps. The usual fault I see is a poor connection on the centre (center) terminal - the sprung contact in the holder fails to touch the pip at the bottom of the bulb.
UNPLUG the lamp
Take out the bulb
Make a small hook or use a tiny screwdriver and pull up on the central connector to help it make better contact with the bulb. Doesn't need much - just a mill or two.
Peccavi
February 2009