ARe you thinking of three-way bulb sockets perhaps?
There are four positions: low, medium, high and off.
Of course this only works with the proper three-way bulb.
If you insert a standard bulb you will have to turn the key from its off position to the first "low" position" for which there is no contact.
The next stop would be medium and you'd get light.
The next stop is high and the bulb is still on (since medium and high use the same higher wattage filament in a three way bulb).
After that you turn the bulb off.
My guess is you're using the wrong bulb in your lamp.
