If you have been doing any sort of research on purchasing an HID conversion you will inevitably come across the term ballast. What ballasts do in a conversion kit is relatively simple. The wiring harness that your car uses to power the stock halogen bulbs usually run at 55w. When you upgrade to an HID conversion, the bulbs that are used only require 35w (as a general rule of course). The ballast converts and regulates the flow of the electrical current from 55w (your current harness) to 35w (for the HID bulbs). This prevents the bulb from shorting out or not functioning.
Towards the end of a HID bulbs existence, sometimes the phenomena known as cycling occurs. As the gets older, the voltage necessary to maintain the arc eventually rises to exceed the voltage provided by your ballast. As the lamp heats to this point, the arc fails and the bulb will not longer function. If this is occurring to you, it is possible that the bulb is the culprit and not your ballast.
If you are looking at a conversion that does not include a ballast, it is entirely likely that it is not a true HID bulb.