Change the Bulb Safely

When removing the bulb, use the base – don’t pull on the glass. This goes for all types of bulbs.  For the ones with little, ejector arms (like in a Kodak slide projector), use the ejector to do most of the work, but go slow and don’t use a lot of force.  If the bulb is really stuck, you may have to try to rock it back & forth – but use a shop cloth or some kind of hand protection between the glass and your fingers.
Also, when seating the bulb, make sure that the prongs / contacts are fully seated.  If it is not fully seated and there is a gap between the base and a contact, the electricity will arc at that spot instead of flow, and that can cause the bulb to blow.
If you haven’t been around one, a bulb blowing-up sounds like a firecracker and explodes like one too (not to mention all those little, shards of glass . . . )