Electric light bulb burns out
The sudden change in temperature from cold to hot is quite a violent thermal-mechanical shock to a light bulb. Of course you get the same when you turn it off too but then you'll only notice it has failed when you come to switch it back on.

Also, the cold-resistance of the filament is quite low so, when power is initially applied there is a very high current surge that settles down in a few tens of milliseconds to normal running current. Wiki says this: -


  The actual resistance of the filament is temperature dependent. The
  cold resistance of tungsten-filament lamps is about 1/15 the
  hot-filament resistance when the lamp is operating. For example, a
  100-watt, 120-volt lamp has a resistance of 144 ohms when lit, but the
  cold resistance is much lower (about 9.5 ohms).