When I had HIDs in my WRX I blew out a bulb prematurely (< 1 month) by leaving headlights on when I turned the car off.
There's a lot of other variables to be sure, but at the time I decided it was likely due to the fact that if you turn the headlights on, it bypasses the DRLs.
Since the DRLs only light when the handbrake is down, starting the car with the handbrake engaged and the headlights on makes the headlights flicker to life a few times as the starter pulls power during the start attempt. HID bulbs/igniters in particular seem to hate that rapid duty cycle.
It's probably not incredibly great for regular bulbs to do that either, but no longer doing that made the other bulb and its replacement last until I pulled the HID setup. Admittedly, the PO of my car had disabled the DRLs to start with, which is probably related to this phenomenon.
I'd try turning the headlights off when you're turning the car on and see if it makes a difference.