Is it in a bracket and you can't get your fingers around it or is it stuck in the socket?
If it's the former, try a suction cup.
Latter? Ooh, that's a hard one. Be careful that it doesn't break in your hand and cut you.
Is it a regular bulb or one of those little haligen-type bulbs. If the latter, try pushing up on it as you're trying to turn it.
We're having the same problem right now in the kitchen.