There's a picture of a light bulb at the top of this page - the type shown is called an Edison Screw (ES) - they undo anticlockwise.
Some lamps have a Bayonet Connector (BC) and are removed by pushing in and turning a few degrees anticlockwise.
http://www.lighting-bible.com/images/light-bulb-bayonet-fixture.PNG
You can check which type you have by first attempting to push them in - if it moves in it's a Bayonet type - it it doesn't move inwards it's very probably a Screw type.
Peccavi, May 2009