I hate compact fluorescents!

[PapaSmurf2k3]

It comes back to what Dave was saying about the sine wave coming in to the light. If the frequency is just right, it would actually cause it to vibrate ever so slightly and wiggle its way out.

[Dattebayo]

Actually, the unscrewing thing is because each of those CFLs has a mini transformer in them similar to those annoying high pressure sodium lights they put on the outside of apartment buildings that make a noise when they turn on. The transformer vibration is the source of that noise, and if you listen very carefully and have really good upper level hearing, you can hear the CFLs really high-pitched tone when they turn on...

The difference with those sodium bulbs is that they use the larger style of screw cap and the transformer isn't directly connected to the bulb's base, so they don't move as much.