Why do light bulbs burn out after you turn them on?

Light bulbs draw/use more electricity when you first turn them on, as compared with when they've been on for a while. In the case of incandescent bulbs, this extra current stresses the tungsten filaments, making it more likely that they will fail when you first switch them on. Also, these failures tend to be more noticeable because you usually hear a pop thanks to the additional current passing through when the filament breaks. And you are inevitably waiting for the light to go on... and it doesn't.