Have you done a search on this? It's a common problem.
One thing not often mentioned is that the bulb-out light comes on only after the offending circuit is energized. Pay close attention the next time you start your car. The light probably won't come on immediately but WILL come on after you do something (e.g., turn on the headlights, use the turn signal, hit the brakes). That'll be your clue where to look.