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Dielectric grease. You can get it at any parts store. [EDIT: Dammit, Redwing, you beat me to the trigger by seconds--we both posted at exactly 8:56PM!]
If you look carefully you can find a small tube called bulb grease that keeps down on corrosion, waterproofs, and also makes bulbls easier to remove. It is different from the dielectric grease for spark plug boots. I got it from Autozone. It can also be used on household bulbs. I know I have problems removing burned out exterior flood lights.
The actual white stuff is not exactly the same as clear dilectric grease. You can get it at NAPA or truck stops. Trucklite calls it NYK-77 Corrosion Preventive Compound. The 2oz tube is their part number 97944.
I thought I was the only one to come across this - years ago I changed the bulb on the side marker and this stuff was also there - it was yellow in color and they certainly used alot of it - I suspect that its some dialetic grease, similar to the type you would use for spark plug boots - it cant hurt to add a little anyways :)