Why electric light bulb more often burns out when we switch from OFF to ON our wall switch, but not during regular work? What happens to it so it burns?
The sudden change in temperature from cold to hot is quite a violent thermal-mechanical shock to a light bulb. Of course you get the same when you turn it off too but then you'll only notice it has failed when you come to switch it back on.
Also, the cold-resistance of the filament is quite low so, when power is initially applied there is a very high current surge that settles down in a few tens of milliseconds to normal running current. Wiki says this: -
The actual resistance of the filament is temperature dependent. The cold resistance of tungsten-filament lamps is about 1/15 the hot-filament resistance when the lamp is operating. For example, a 100-watt, 120-volt lamp has a resistance of 144 ohms when lit, but the cold resistance is much lower (about 9.5 ohms).
The failure mechanism for incandescent bulbs needs to be looked at a microscopic scale. Over time, tungsten evaporates from the filament and condenses on the glass bulb. This creates the dark discoloration you see on well-used bulbs. As this occurs, you get local erosion of the filament, which ultimately creates a positive feedback cycle. Where a filament gets thinner, its local resistance goes up, so it gets hotter than the other parts of the filament. This increased resistance causes a local hotspot to occur, which increases the evaporation rate, which increases the temperature, etc. At some point the filament fails. If the failure occurs simply because the filament gets too weak, the bulb fails during normal operation. More often the shock of turn-on is too much for the local thin point, since it is (having gotten thinner) physically weaker than the rest of the filament, and the bulb fails on turn-on.