Noisy 240V AC Residential Light-Fitting
What exactly is this sound?


It is called the 'mains hum'. It is usually emitted by transformers or arcs. The cause of this sound is that the electricity coming to your bulb is constantly changing direction/polarity 60 times (or 50 if you're outside the US) a second. The electricity is moving either the transformer if you're on a CFL or LED, or somewhere around an arc or loose connection if you're on an incandescent bulb.

tl;dr 1. It's the mains hum. 2. If you're on an incandescent bulb, you  have to start worrying about it.