Since the dawn of photography, people have been trying to take pictures in dark places.  The first flash technology was introduced in the late 1800s. In 1887 Adolf Miethe and Johannes Gaedicke, both German, introduced a product they called Blitzlichtpulver, or "lightning light powder."
This was a powdered mixture of magnesium, potassium chlorate and antimony sulfide placed inside a shallow pan. When set alight the powder exploded in a burst of blinding light.  The powder material was obviously extremely dangerous, and many photographers were injured or killed by accidental fires.
In these early days, photographers experimented with many types of lighting beside flash powder (blitzlichtpulver).  Experimentation included arc light, lime light, highly actinic flash sheets, and magnesium ribbon. All of  these lighting methods suffered drawbacks.   Arc and lime light required great electric power sources or sources of gas.  Flash sheets, magnesium metal, and flash powder, through providing a brilliant light, were capable of producing equally magnificent amounts of smoke.  However, flash powder remained the accepted method of illumination from its inception in the 1887 until the first half of the 20th. Century.  Some attempts to enclose the light and fumes of flash powder were made, but these were generally futile.
In the 1880's, experiments involving igniting gasses and metals in glass globes were first conducted. In 1893, Frenchman Chauffour designed what was perhaps the first photoflash bulb by setting magnesium in a globe of pressurized oxygen.  However, it was not until 1925 that the first practical photoflash bulb as developed.  This flashbulb developed by Paul Vierkotter was made of a magnesium coated wire inside a glass globe.  It was later determined that aluminum foil in a low pressure oxygen atmosphere worked even better, and was cheaper to produce. 
In 1930, the first commercially available photoflash bulb was patented and put into production by German Johannes Ostermeier.  These bulbs were called the Vacublitz.  They burned thin tin foil and were soon followed by General Electric's Sashalite which used aluminum foil in a pure oxygen environment.
A typical 1930's era photoflash bulb was the size of a standard 100 watt light bulb.  Made of clear glass, these bulbs had a typical Edison of Mazda screw base.  This made it possible to fire them in standard light sockets, but this was not advisable.  Flashbulbs had a hazard of exploding, especially if outside humid air was allowed to seep into a damaged bulb.   Around 1935, bulbs had placed within their spheres a tiny daub of blue cobalt chloride which would turn pink upon contact with the outside air. This would alert the user of a possible explosion hazard.  Still later safety improvements involved coating the bulb with a clear laquer to hold a shattering photoflash bulb together.
As photography fell into the hands of amateurs and became a way of capturing family occasions, bulbs became very small and compact.  With the advent of color film emulsions, bulbs picked up a blue coating to bring their color temperature more in line with the needs of these new films.  During the late 1960's, when electronic flash first made an appearance, the use of bulbs began to decline.  However, there are a some photographers, especially cave and mine photographers who still prefer the use of photo flash bulbs.