I've been trying to replace a lot of bulbs in my house with cfls, and
while they always boast of being longer lasting and more cost efficient,
I've noticed that they tend to blow out at a much higher rate than
incandescent. Would there be something in my wiring contributing to
that? Or have I just picked bad brands? In some sockets, I've found
that my insulation isn't great; could a cold breeze be shortening the
life?

I have the same problem. Its switching it on and off (as in bathrooms and
hallways) that will shorten the life - some will only last about a year.
That goes for all fluorescents not just compacts. Say if the rated burn life
for you compact is rated for 10,000 burn hours, much better then
incandescent, but in real life where you switch it on and off like in the
bathrooms burn life perhaps well be below 400 hours, much worse than
incandescent. Doesn't matter if its high quality Japanese lamps or low end
Chinese, burn life is about the same when its exposed to high switching
cycles. My casual observation, not scientific study.