My 08 Mazda5 is eating headlight bulbs.

I would suspect sort of a vibration problem in the front end area. That could weak them down.(stash)
 
I haven't had any issues with the bulbs either, I would say convert to HID. :) I did.

Make sure that the covers are on secure to prevent any moisture from coming in, the covers and clips are sort of cheap.
 
Mazda’s are not know for electronic gremlins. If you did not touch the glass and the bulb is not cheap or hi-output but poor life expectancy, the next place I would look at is the bulb mount/base is secure AND ensure the socket that plugs into the bulb is secure. The only incident where I have frequent bulb blow out was due to a loose bulb mount/base. I used some electric tape to fill in some gap and stopped changing it. This was a 1157 bulb so you have a different experience. I would check the bulb socket to make sure it has a tight fit on the prongs of the bulb.
 
my 08 had had at least 3 sets of bulbs. yes, this is a problem with mazda's as my p5 had the same problem. i think the stiffer suspensions/crappy roads around here are part of it.
 
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