120V A.C. power as provided in the US has a hot and neutral lead. The hot lead alternates between about +170V and -170V(*) 60x per second with respect to the neutral lead.

The neutral lead is tied to ground in the fuse box. Therefore, since it's forced to have the same potential as the world around it, coming in contact with it is (generally) harmless.

The neutral lead should (obviously) be connected to the shell of the lamp socket, not the tit. However, if a lamp can be plugged in either way (pins the same size), you can end up with the tit connected to neutral and the shell connected to hot. The switch generally only switches the tit, so switching off the switch will still keep the shell hot. Touching the hot line can be painful.

(*) - yep, 170V. 120V is the average voltage provided.