Well its pretty visual, any light that the light bulb produces is energy that got eaten up before it got to your tested device. That's actually a nice feature since you can see that something went wrong.
The reason lightbulbs work well for this is that they have a fairly low resistance when cold but once they get hot enough there resistance rises and so the light bulb sucks up more of the energy, making it hotter, making it burn even more energy. This takes some time but even when cold the lamp still has a fair bit of resistance that limits the current, so it is far from a direct short.
That cold resistance is the reason why a lamp is more protective than a fuse. Especially on mains where the wall outlet will give you >100A if you ask for it. The fuse will happily let the 100s of Amps flow trough your device for a milisecond or two before the wire inside the fuse explodes and interrupts the flow. By that time something in the device might have gone kaboom. If you use a lamp then even a dead short can only draw as much current as the cold resistance of the light bulb allows for. This resistance is typically in the 10s of Ohms so even for the brief period the lamp takes to heat up and turn on there can only be at most 5 to 10 Amps flowing.
EDIT:
A nice proof of this can be comparing a switch for a lightbulb or large heater to a dead short. If you ever stuck the live and neutral wire together you know how violent it is. There is a loud bang, flash, sparks flying, smoke, black deposit on wires etc... Yet a light switch or thermostat on a heater just has the contacts come together with no spark at all. (You do get a spark when opening the switch but that is a different phenomenon). So you rather have a short happen quietly and calmly inside the faulty device, rather than the violent bang.