Will a incandescent burn out if you leave them on forever?
See the world's oldest light bulb; over 110 years old!

However, that's carbon-filament rather than the modern tungsten filament, and it's not very bright. Tungsten filament bulbs are nice and bright but do evaporate over time; they will die after a decade or so, even if on continuously.

You're absolutely right about the surge behaviour with temperature and the benefits of slowly warming it up.

You could choose LED lights for longevity, but the driver circuitry has questionable lifetime, especially in electrolytic capacitors, and they need to be kept from overheating.