The reason for this strange behavior is the inductor. When current first starts flowing in the coil, the coil wants to build up a magnetic field. While the field is building, the coil inhibits the flow of current. Once the field is built, then current can flow normally through the wire. When the switch gets opened, the magnetic field around the coil keeps current flowing in the coil until the field collapses. This current keeps the bulb lit for a period of time even though the switch is open.