This can be a frustrating issue, especially if the bulb is in a difficult to reach location. One reason for bulbs burning out too quickly could be from using a bulb with wattage that is too high for the fixture. This will create too much heat for the socket or the internal fixture wiring.
Another issue can be from extensive use. For example, a porch light that uses a halogen flood lamp and is typically on from dusk to dawn will have more usage during the winter than during the summer. If the porch light is operated by a photo-cell, during the winter months the light will be on for nearly 14 hours per day. With that level of usage, the flood lamp will likely burn out in approximately three months.
In general, halogen or incandescent bulbs typically do not last as long as other types of bulbs. For longer lasting bulbs, consider moving to LED bulbs where appropriate.
Other reasons not related to bulbs could be loose connections or other wiring problems that should be checked by one of our licensed Denver residential electricians.