Quoted from MarkG:

Here are a few things to try:
- Clean the socket with an eraser or small wire brush on a rotary tool.
- Check that the bottom tab in the socket hasn't been bent down. Sometimes it doesn't provide enough tension on the bottom of the bulb.
- Clean the bulb base, or replace the bulb.
- Replace the whole socket if corrosion may have gotten between the riveted parts.
/Mark

Quoted from pinballdaveh:

If the bulb in the socket is loose try pinching the sides of the socket with a needle nose pliers so the bulb fits tightly.