LIght IS an electromagnetic wave, but it's not harmful. Fluorescent lamps and halogen lamps emit UV, but both are shielded so they should not be emitted into the room in a harmful quantity. I'm pretty sure that LEDs do not emit anything other than visible light. Old-style incandescent bulbs emit visible light and considerable infrared waves (heat), but infrared is not harmful.
It depends on what bulbs you use. Halogen bulbs emit some ultra violet light . So being to close to them for to long can give you a sunburn. Else, electric light sources create a EM field, like all electric devices, but a weak one and there is no evidence that its harmful.