The issue you're seeing with the lamp is a feature of many X10 modules. It's called "local control". The goal was to let you turn the lamp on via its own switch, without having to send an X10 command. Unfortunately this feature can also cause real problems by turning devices on when they shouldn't be. The most common scenario is that a device such as a fluorescent light will be turned back on almost immediately after being turned off.
As Ken said, this issue can be avoided by using appliance modules. I generally use appliance modules for any device that isn't dimmable - there's a clicking sound when the module is turned on or off, and it can be either barely noticeable or quite loud depending on the appliance module.
Another frequent problem with X10 devices is related to how houses are wired. Your house has two power legs, and X10 signals often can't make it from one to the other. If you find that your X10 modules work better on outlets controlled by either even or odd numbered breakers, or when your electric dryer or stove is running, this may be your issue. The easiest way to fix it is with a phase coupler - a device which plugs into a 220v socket such as the one used by your dryer.
There are also some devices which are "noisy" - they drown out the X10 signal so that it can't be recognized. I've personally never encountered this situation, but there are filters you can buy to isolate the device.
smarthome.com and others have information on how to troubleshoot X10.
Having said all of this... I find X10 to be very reliable in my house. I would avoid using it for critical functions in favor of a DC4/8 module, though. Only non-critical tank functions such as moonlights are controlled by X10 in my setup.
