If you have less than 3/36, have the dealership take a look at it. They might not find anything, but then again, they might.
If you don't want to spend the time there but choose to do it yourself, then try this. When you remove the bulb from the housing but it's still in the socket:
1. Lightly tap the bulb and look for either filament to be loose
2. Turn the parking lights and/or brake lights on (whichever one is the issue, or both) and then lightly tap the the bulb again
Don't worry about actually tapping it so hard that you damage it since you are going to replace it anyhow. What you're trying to discover is if it's the bulb or not. If tapping it doesn't result in a failure then check your wires as far back as you can and look for any damage to the harness' tape that they wrap it with. Also check the common ground (G401, left side of rear compartment) at the bolt and see if it looks loose or rusty. Check the wires in the loom by feeling them to see if there's one or more that might have a kink, which could indicate that it was damaged during manufacture. Check the back of the socket for issues, and inside where the bulb contacts are. There is no ground on the housing as it is wired to the socket, so all issues will be either bulb or wiring. According to the schematics, the wires for each side of the parking lights run all the way to the fuse block inside the trunk, left side, behind a little fabric door. Check for damage there was well. The fuse for the parking is 10A #9 and relay #27. The wires for the brakes/turns go to the underhood fuse block then continue inside to the fuse block and BCM (body control module) under the right side of the console. Left is yellow, right is dark green. Both are in the plug identified as X3 on the schematics, and will be identified by a J3 molded into the BCM. Left is pin 9, right is pin 12.
If you want to look at the schematics yourself, see figures 44 and 45 on the following link.
http://dl.dropbox.com/u/4191695/08_chevy_malibu_complete.pdf