Touching the bulb will create a hotspot on the bulb. The glass will generally darken, warp, or even crack/puncture at the spot where you touched it. The fact that the bulb looks fine tells me that it's probably not you touching it.
What brand of bulbs are you using? A lot of people use Abco/Westinghouse because they're cheap. I call them flashbulbs. Which is somewhat unfair because camera flashbulbs often last longer
Bulbs by Sylvania tend to be decently reliable.
If that doesn't work, it could be a heat generation problem in your light. Poorly designed (cheap) hallogen lights can trap so much heat that it damages the bulb.
What kind of bulbs are we talking here? Long, thin, with metal contact points on either end, screw in, 2-prong, what?