Why are Christmas lights set in parallel?

Answer 1

The set in parallel prevents a single bulb failure to cause all bulbs to go dark. Many old sets of lights are in fact wired serially, which means that repairing a failure is a very tedious process; it's necessary to test and/or replace each bulb until the bad one is found.

Answer 2

If it is a single circuit, one bulb in the middle will cause the rest of the bulbs to go out too, because it creates a break in the circuit. For a circuit to work, it must be continuous. A parallel ensures this even when one bulb goes out.