Turned on the lights, five on same wall, and the bulbs burnt out right away !
Then when I though the wall lamp, I feel electric type vibration

You have a short, don't touch again until you have your system checked out by an electrician

Has any electrical work been done in this area the you have accidentally forgotten to mention?

If that many bulbs burned out, I would be looking into voltage supply. Where are you located. In the US, should be about 120VAC +/-, In Europe, 240 VAC.