Trace all the wiring back from the bulb and any connector you run into should be unplugged and checked... but this is sounding more like a short. So, while you're tracing wires back from the bulb, look the wire harness over very carefully - the power wire may have worn thru the insulation and is grounding out somewhere.
Do you have a voltmeter? The other possiblity is your voltage regulator is bad and allowing too much voltage thru the lines and frying bulbs... OTOH, if it's frying bulbs with the key on, but the motor's not running, then that'd rule out the regulator.