Needless to say, it's a very bad idea to have a 115 V potential difference across any part of your body. People can be killed by that.
I believe that what you experienced was a failure of Ohm's law. For small V, it's true that V=IR, but for larger V different materials show various deviations from that behavior. For a light bulb, the current is smaller than you would guess, because the current heats the metal filament, raising its resistance. For a person, I suspect that the larger fields are causing some breakdowns of insulating membranes, in effect lowering the resistance. Also, you probably measured your resistance dc, which can give higher values than ac due to charging effects near the contacts.
I guess that 4W bulb was rated 4W with say 12 V on it, not with 115 V. It must have had a resistance of less than 460 Ω to get that 0.25 A current. My guess is it only had about 30 Ω. which sets a current limit of about 40 A with your power supply. That's very far over the lethal threshold.
Anyway, the whole thing is a really bad idea.
p.s. I'm violating our usual procedure of not posting until someone else checks the answer, because I don't want to take the chance that you might continue this experiment.
(published on 06/06/09)