DC9 CREW TOOK OFF WITH THE EQUIP AND ELECTRONIC COMPARTMENT DOOR NOT LOCKED CLOSED. THE DOOR WARNING SWITCH FAILED IN THE CLOSED POS.

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ON JUL/FRI/98; AT APPROX XX10 LCL WE DEPARTED STL AS FLT #XXX BOUND FOR IAH. RIGHT AFTER ROTATION WE HAD LOUD WIND NOISE IN COCKPIT AND CAPT AND I AGREED WE MUST HAVE AN ACCESS PANEL OPEN. NO LIGHTS FOR DOOR WARNINGS WERE ILLUMINATED ON THE MAP PANEL. WE INFORMED DEP CTL WE WANTED TO RETURN TO STL. WE RAN SHORT SEGMENT CHKLISTS AND RETURNED VISUALLY TO STL RWY 30L AND MADE A NORMAL LNDG. AFTER ARRIVING AT THE GATE IT WAS DISCOVERED THAT OUR FORWARD EQUIP AND ELECTRONICS (AVIONICS BAY) DOOR HAD OPENED. IT WAS ALSO FOUND THAT THE EQUIP AND ELECTRONICS COMPARTMENT DOOR LIGHT HAD FAILED TO THE CLOSED POS SO THAT THE LIGHT ACTUALLY WORKED; BUT THE SWITCH FAILED SO THAT WE HAD NO WARNING. THE LIGHT WAS MEL'ED AND THE EQUIP AND ELECTRONICS DOOR WAS CLOSED AND WE FLEW TO IAH WITH NO FURTHER PROBS. I COMPLETED THE WALKAROUND PRIOR TO THE DEP OF THE FLT. THE ONLY DOORS I SAW OPEN WERE THE FORWARD AND AFT CARGO COMPARTMENTS. COMPANY MAINT HAD BEEN IN THE EQUIP AND ELECTRONICS COMPARTMENT THE PREVIOUS NIGHT TO REMOVE A PLACARD ON THE ACFT. I CAN ONLY CONCLUDE THAT THE DOOR WAS CLOSED BUT NOT PROPERLY LATCHED AND THAT I DIDN'T NOTICE IT ON MY WALKAROUND.