Thanks pdnnoob.
Unlike magicians, I share my secrets. So here's how I made the glass part:
I filled a layer with white (or 50% gray).
Used Shape3D, cylinder with a round top.
After fiddling with size and stuff, I checked the "transparency" checkbox and messed with that a little. Changed Anti-Alias level to 5.
Then I used Distort/Bulge. This was the hardest part, because it was hard to make it look like a real light bulb. After I put the light source in, I unselected all but the glass layers, used Apply Image* and put it on top of the light source and changed the blending mode to overlay.
I think I could've done better with the shadows, for example there should be a shadow underneath the gass part as well.
*= Flatten, Select All, Copy, Undo 'til layers are back, New Layer, Paste.