Well with a little help from your local hardware store it can be easier than you think.
Step 1: Materials
Right now you will have one of two situations
1) The glass broke away from the base and you have a sharp stump stuck in there.
2) The glass came out intact leaving the threaded part completely empty.
we're going to start with he first scenario and move towards the latter.
What you need:
Glass catcher (large bowl, box etc)
5 minute epoxy putty
Flat head screwdriver
Step 2: Clean the stump
try to use the pliers (or a channel wrench) to unscrew the bulb with the remaining glass. Hold your bowl or box up to catch any glass shards
If you're lucky the bulb stump will come free. if you're unlucky the bulb will be too tight and you will not be able to extricate the threads. In this case use the pliers to break away any glass until you have a clean socket.
Be very careful cleaning the socket. bulb glass is very nasty and likes to splinter into slivers. you should always look away or use eye protection when breaking the glass. also try to hold your container completely over the socket to catch any flying pieces