Well the fact you are alive to report it is a good sign, and hopefully you now know to NEVER insert fingers it not electrical apparatus without first switching off the power and then verifying that it is safely off! Even if the shock to a limited part of your body does not cause serious harm, falling off a ladder/chair as a result can cause really serious injuries.
A photo of the inside of the socket might help. If it is our typical bayonet B22 fitting then sometimes one of the spring-loaded pins gets stuck (or damaged/bent sideways) and stops the lamp going in OK.
Often that means replacing the fitting and you might be best advised to get an electrician in for that, but a decent photo will help us advise you.