I bought a lamp that I see needs a 3-way bulb. I don't really know what that means, but I see that the switch turns three times. Is using a regular bulb in it dangerous?
Most of the time, with most 3-way sockets and most "one-way" light bulbs, it's fine, other than you click a few extra times to turn it on and off.
Some of the time, due to manufacturing tolerances and the like, there can be a problem with the contact for the intermediate ring shorting out as you switch through the 3-way settings. It's not terribly common, but I have seen it happen more than once.
a three way bulb has an extra filament and provides 3 brightness levels, if you use a regular bulb it will work ok, but only give one brightness level.