What happens when switch is open
The current arcs across the open contacts in the switch for a bit (this is what electrons moving through the air is like lightning) and there is a infinitesmal amount of electrons that continues to flow since everything has a resistance (except for maybe a vacuum like in vacuum tubes which function differently). Since electrons are discrete particles though, at some point zero electrons can move across the air gap.

The arcing can be thought of the inertia behind the current, like trying to stop a train from moving; It doesn't stop right away. It's due to inductance so if the lamp were an inductor or coil with lots of inductance, the arc would last a lot longer. Transmission stations can have enormous arcs that last for a several seconds.

Also note the electrons actually move very slowly as they "flow" in the wire. The wave of electrons bouncing against each other is what moves near the speed of light. An electron isn't moving back and forth from one end of the wire to the other 50 or 60 times per second in 50/60Hz AC, but the wave is. That might help you clarify things in your mind. It's like how sound moves much much faster than wind.