Next time you replace the bulbs....mark the new bulb before screwing it in. That way next time it "burns out," you can tell whether it was someone who swapped bulbs on you...or whether it's as you say - short lived bulbs.
If it is bulb swapping....I remember reading about a device that physically locks the bulb into the socket until you remove it with a special key (dunno if it will work with CFLs).
Or go with (more expensive) left-hand threaded sockets & bulbs
Do they make compact fluorecents with left-hand threads?