'Blown' if you're talking about the fuse or filament, especially if you've observed it 'blow'.
'Gone' or 'dead' would also work colloquially.
I wouldn't say 'burned/burnt out', but I believe that this is used in AE.
For me, I think that 'gone' sounds most natural. "Damn it! Another bulb's gone. Anyone know where the spares are?".