Depending on the fixture you may have a lamp with too much wattage. Most fixtures can handle 60 w lamps but recently I have run across some 40 w fixtures. There should be a stamp inside the fixture listing the max wattage. Too much heat will cause the problem you describe. Added I normally do not use lube below 400w lamps but do use dielectric grease on 400 & 1000 w lamps if having problems removing lamps an electrical grade of grease used sparingly cannot hurt.