While I agree with what Michael mentioned about the rarity of lights actually exploding I disagree about a minor off subject point. While fresnels and softlights can be used on talent, there is no reason one cannot use a redhead or a blonde as well.
For example, I worked on Unfaithful and Peter Biziou ( http://www.imdb.com/name/nm0084695/
) used redhead and blondes through diffusion frames all day long as key lights for most of the interior scenes. Even daytime interiors. His work is beautiful.
And if I may add a comment to Eden's comment about moving lights while they are on. While it is true that bulbs can be more fragile while they are on, we actually move lights all the time from tweenies to 24ks, while they are on. It is easier for DP's to see where one is at while they are on. You just have to be careful. It isn't the moving, so much as a shock that breaks the filiment. If you have a light on, and drop it suddenly on a hard surface, the chances are good that the bulb will break. Just be careful.
And actually when using HMI's, especially pars, a gaffer and DP will go nuts if you turn off a light to move it a little. The damn things burn so hot it'll take a few minutes for a lamp to cool enough to come back on. Better to pan them off when they say turn it off.
Back to the original subject I think I have seen about a half dozen HMI bulbs and a dozen tunsten bulbs blow in 18 years. It rare, but it can happen. The worst is when an 18k fresnel blows and takes the lens with it.
Apologies about being nit picky