We use confocal microscopy to study the motion of a magnetic bead in a dense colloidal suspension, near the colloidal glass transition volume fraction phi_g. For dense liquid-like samples near phi_g, below a threshold force the magnetic bead exhibits only localized caged motion. Above this force, the bead is pulled with a fluctuating velocity. The relationship between force and velocity becomes increasingly nonlinear as phi_g is approached. The threshold force and nonlinear drag force vary strongly with the volume fraction, while the velocity fluctuations do not change near the transition.