Why is it that insects go inside lamps and die in there?

There may be a very obvious answer to this but it always freaks me out, seeing a lamp somewhere and noticing how it is filled with dead bugs and stuff. Why in the world would those insects kill themselves by going inside the lamps? Is it because they are attracted to light? (That would seem a little dubious since they should be noticing how the warmth of lamps burns them to death, right?)