Actually, there are two possibilities for this to happen:
1) there is a strong electric/electromagnetic field where the bulb is placed. This was used for example by people who had a garden plot underneath the Berlin radio tower to light up their sheds. No wires needed, just hold up the tube ;-). Although it is actually illegal.
2) more likely, though (there aren't that many people living under a radio tower...), the power switch for that bulb is in the return path. Perfectly normal and legal, especially when using cross switches (i.e. you could switch the bulb from several switches). This means that the electrodes inside the bulb are actually "hot", and any stray current may light up the bulb (slightly). So your bulb acts similar to one of those plasma balls - when you touch it, you provide a ground path, a small current flows and lights up the bulb in the place where you touch it.