You may have used the wrong bulb, or the bulb you bought is defective (yes, it happens). You can screw around and waste time all you want to, or, you can take the easy way out:
Trade bulbs between left and right. Does the problem follow the bulb or stay with the socket? This way, you know if it's the bulb or not. If it's not the bulb, it's gotta be the socket.

Moved to appropriate forum.