Yep. Just like Bill and Dennis said. Lamps explode. Never run them in an open face instrument without some type of guard.
Skin oil will make them fail. Fast. Either wipe it off with alcohol, or use rubber gloves, or the bulb package itself to not touch the bulb with your bare hands. And even then they will occasional fail catastrophically. These are very high performance items, that have very little in common with consumer lamps. It's like the difference between a race car engine, and a street car engine.
Crappy sockets can make them explode too. A poor connection causes resistance and arcing, creating heat in the socket, creating more resistance and arcing...and so on. Eventually they will die. Make sure the lamps are firmly in the socket, and it isn't corroded.
Also try to avoid moving lights when they are on, or even off but still hot. This weakens the filament in the lamp and will shorten their already short life.
Scott Sheriff
Director
http://www.sstdigitalmedia.com
"If you think it's expensive to hire a professional to do the job, wait until you hire an amateur." ---Red Adair
Where were you on 6/21?