I put two standard 25-40 watt light bulbs in my pump house every
winter to keep things from freezing. Is there a longer lasting bulb
out there?

If you were simply needing a long lasting bulb, I would suggest compact
fluorescents. They last years. Of course, they won't put off enough heat
to be useful in your situation.

They do make "long life" light bulbs. They are actually bulbs rated for
130V, so they run at less than full load when run on standard 120V power.

Using a similar idea, you might get longer bulb life if you install a
dimmer switch so the bulbs aren't running full power. Of course, you'll
probably need to increase the wattage of the bulb to compensate for the
decreased heat output.

You can also try bulbs rated for ceiling fans. They have a bit sturdier
construction than regular bulbs, as they have to resist the vibration
from ceiling fans.

Otherwise, leave the bulbs on all the time. The thermal shock of turning
the light on and off is what tends to burn out bulbs the most.

You might also consider a dedicated heater with a thermostat. They're
fairly inexpensive, and will last a very long time. I use a small 2' long
electric baseboard heater (about 500 watts), so I don't have a fan or
other moving parts to worry about. Works fine.

Anthony