Some types of compact fluorescent (PLL, PLT) have a push-in fitting. Try pulling straight out.
Photo by ikiwaner, Creative Commons Attribution-Share Alike 3.0 Unported
P.S. While you are working on that, you really ought to fix that loose earth/ground connection with a bolt, nut, washer and maybe a crimp-on ring-connector. Or something similar. —
P.P.S. broken compact fluorescents may need special cleanup