Sometimes, this is more frustration than it is worth. Most of the time you are much better off to spend your time and money on replacing the entire string.
However, if you have the patience and time, first, push on and physically touch each and every bulb to see if it starts the string working. If so, then you have found the source of the problem. If you have multiple lights out, this technique will probably not work. The very best and quickest way is to invest in the tester pictured on the left. This tester comes with instructions and can easily find bad bulbs. Remember; always replace the bulbs with the same voltage bulb. Refer to the light string tag for voltage identification.