If your working with the insulated pliers and you wear dry leather gloves you will be perfectly insulated. Make sure you are standing on a dry floor with rubber soled tennis shoes. Make sure to just use one hand when you do this too - dont want the electrons to go in one hand and out the other (usually takes the path right through the heart). The above is probably over kill since if the switch turned the light off and on before than you can be sure that the power to the light is off when the switch is off. Unless some goofball wired it by switching the nuetral, which is way wrong. Get a flat nose pliers and try to grab the metal part of the base and twist it. Use safety glasses because your sure to break off some of the glass. If you cant turn the base with any of the tricks posted above the last step would be to take a very narrow screw driver and gently wedge it into the socket between the socket itself and the broken base. You should twist the screw driver as you push up at the same time trying to seperate the threads of the base from the socket. Do this in a few different locations and you will loosen the base enough to turn it out, or it may just fall out at this point.
I had to do this recently. I took the new bulb & inserted into the base of the old one (which was all that was left), turned it to undo the old one & it came out.
Heres where you have to use your head. Really, its an old electricians trick that some of us younger electricians use too.
What you do is rub the base of the lamp in your hair. The natural oils in your hair will be enough to lube the base and prevent it from getting stuck. Try it as soon as you get back up from the floor in laughter.
It does work.