You can also use a Light Keeper Pro or similar continuity testing device to pinpoint burnt out bulbs.

Plug in the strand of lights, and remove a bulb to connect the Light Keeper Pro to an empty socket.

Pull the trigger on the Light Keeper several times to bypass the bad bulb and light the whole strand, leaving the bad bulb dim.

Replace the bulb you used to test the strand, then remove and replace any bad bulbs. You can use the Light Keeper to test the new bulbs before you install them.