I know this is a oddball long-shot situation, but is there an odd chance the new bulb is also dead?
If you hold the bulb(s) up to a regular room lighting bulb as background and turn it a little, you may be able to see if any of the filament is broken away from it's main structure. You might notice an obvious piece hanging loosely from the filament, or a small broken off piece that will end up gravitating to whatever part of the bulb is pointing down.
I admit I've not done this a lot with train bulbs, but just did it with some old C9 Christmas bulbs a few days ago. The principle should be similar.
It may not always be a "smoking gun" observation if you can't see anything (bulb could still be dead, even if you can't see it), but if you do see loose filament flopping around, it's a safe bet the bulb you are looking at is toast.
-Dave
