Just use a combination of lighting and sound effects. Gunshot + glass break sound effect with a quick flash of the practical before it just goes out. This is simple, safe, and effective
Modify your practical so that you are not using a real light bulb. Make a light bulb out of sugar-glass and mount an LED inside to make it light up. Then after the gunshot you just need a little mechanism to break the sugar glass. It will look like the lamp exploded, but again be pretty safe. This could be a little more expensive depending on the number of performances and how many sugar-glass lamps you need.
IF AND ONLY IF you have someone (or the budget to hire a professional) who is a licensed pyro, you could do a simple pyroeffect when the lamp breaks. More expensive, requires licensed supervision, and the most dangerous of all the scenarios.