The magician shows a normal light bulb, demonstrating that it is unfettered by wires. With a gesture from the magician, the light bulb begins to glow. It then floats from the magician's fingertips, amazing spectators and bringing spots before the eyes of those staring straight into it without sunglasses.
Sometimes, the simplest explanation for an effect is the correct one. This is one of those cases.
The light bulb is completely normal. A standard Tesla power broadcasting station beams electricity to the bulb on stage, making it glow as if plugged into a socket. From there, physics takes over.
As the glow of the bulb heats the air within it, the bulb becomes lighter and begins to rise, like a hot air balloon. (All light bulbs are capable of this, but they are usually attached to a lamp, the extra weight of which prevents it from floating about the room.) The magician just needs to catch the bulb when it turns off, to prevent it from falling to the floor as it cools.
Note: This same "hot air rises" principle was used by Criss Angel to levitate over the 800-degree lights of the Luxor hotel in Las Vegas. Remember than Angel used fireproofed shoes and other safety devices to ensure that he did not die, so you should not attempt to duplicate this feat during a visit to Vegas.