Huh? Why not just use two wires and connect one wire to the other with each bulb.
Like this: http://www.planetchristmas.com/Images/MinisA.gif
I think the real answer is that if you did it this way (in traditional pre-transformer light sets), each bulb would have to be rated for 120v, or whatever your local line voltage is, which would make them both more expensive, and more dangerous.