You must be running torn axle boot which has no grease to protect the axle and started chipping the star edges of axle. Get the axle boot replaced immediately to stop the further damage. After this change you will still have this noise but further damage will be stopped. If you need to get rid of this sound completely then you have to change the whole axle assembly, which is very expensive.
This isn't normal behavior at all, what i think is there is some faulty wiring somewhere. If only one bulb is blowing all time then doubt the immediate neighboring wiring and get it checked for cracks or short circuit. If both bulb is fusing then electrician needs to diagnose bigger task in check whole wiring from steering console to head light.