Bulbs burn out prematurely for a number of reasons. The more common include:
A. The bulb not making good contact in its socket.
B. There could be a loose or otherwise bad connection somewhere in the line.
C. Changes in voltage from the Electric Company (including spikes, and surges).
D. Having the bulb in a fixture that does not let it disperse the heat it gives off (too closed up).
E. Putting in a higher wattage bulb than what is recommended for that particular fixture.
F. You may be using low quality bulbs.
As funny as it may seem, another possibility may be that there is no actual problem and the bulb actually finished its life expectancy. Most incandescent bulbs have a life span of between 700-1000 hours. So, for example, a standard bulb being used everyday for 5 hours, will last about 4.5-6 months. Even less, if you use it more frequently. A bulb that is on most of the day (as you may find in a store or office) will last half that time.