If it is a touch switch, usually a dimmer, that is normal. You are feeling the low current electricity that senses when you touch it. If it is a regular flip on and off switch the switch has a dangerous internal defect.
EDIT - by the way, I often work in 500KV substations. *Everything* there has that same "buzzy" feel you get from touch switches - vehicles, steel posts, fences. Or, if you are under the busswork, it zaps the bejeebers out of you!