Some types of compact fluorescent (PLL, PLT) have a push-in fitting. Try pulling straight out.

[![enter image description here][1]][1]  
<sup>[Photo by ikiwaner, Creative Commons Attribution-Share Alike 3.0 Unported](https://commons.wikimedia.org/wiki/File:Kompaktleuchtstofflampe.jpeg)</sup>


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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](https://www.epa.gov/cfl/cleaning-broken-cfl)


  [1]: https://i.sstatic.net/rAIu1.png
  [2]: https://i.sstatic.net/PGoA9.png