It heats up and the extra heat radiates into the room. Likewise, when you get to the size of an atom, they still want to get rid of extra energy. This is called radiating energy. When the energy leaves, it usually leaves in the form of light. The stuff that leaves is called raditaion.
Electromagnetic radiation is just a fancy word for light.
The reason it is called electromagnetic is because light has an electric and magnetic part to it. Flourescent lights are a great source of electromagnetic radiation. The electricity gives the gas inside lots of extra energy. When the gas tries to get rid of it, light comes out.