if you changed your bulb, or took out your stock bulb, and put back in for some reason, you more then likely had the chance of messing it up. The bulbs are very sensitive, and even the slightest bit of oil from your fingers on the glass could cause the bulb to shatter. I've had it happen to me before. I accidentally brushed the glass of a bulb on my hand when putting it in, and it shattered on me when i turned on the headlights to check it. Or like Hombre said, it may have just been a bad bulb.
Also, on the rims, you wont really go through brake pads quicker. If it becomes a problem, upgrade your calipers