I'm from the U.S. and have heard multiple ways used commonly. If you are holding a light bulb that no longer works because the filament is broken you could say:
This light bulb is burned out.
This light bulb is blown out.
This light bulb is dead.
If someone wants me to fix a light that won't turn on, they'd typically point at it and say:
That light bulb burned out!
That light bulb has blown out!
That light bulb has died!
That light bulb went out!
Typically I am in a better mood if they say "Would you fix it, please?" afterward. I've heard "...has burned out" and "...died" with about the same frequency, but "...blew out" seems less common. Also, "That light bulb went out!" is common, but I've rarely heard it used to describe the broken state of the bulb, "This light bulb went out." makes sense to me, but "This light bulb is gone out." or some other similar construction for the present-tense would seem unusual to me.