If there is enough of the copper jacket left to grip, I suggest getting hold of it with long nose vise grip / mole wrench pliers, then tap backwards on the locked pliers with a small hammer or tap on a screwdriver held across the jaw opening. Lots of small taps on the pliers, and wiggling of the jacket, will likely get it out.
When you replace it, use some good quality anti-sieze compound or PTFE thermal transfer grease down the hole and on the jacket and bulb before fitting the new one.