A collectible light bulb that works will always be worth far more than an identical bulb that doesn't work (around 90% more in my experience). However, you should never test an antique light bulb by simply screwing it into any old lamp socket in your home. The voltage used today (120 volts in the USA) is much higher than what these bulbs were made for (anywhere from 6 volts to 110 volts). Additionally, some sockets may cause scratching of the base, and you will be putting the 100+ year-old cement (the brown or gray paste that keeps the brass base attached to the bulb) to the test when screwing it in.
I own antique light bulbs made for 6, 8, 10, 12, 32, 60, 104, 110 and 115 volts. Most of the 110 and 115 volt bulbs will survive being powered up at full household voltage for a brief moment, but those rated for 104 volts and under will either pop instantly or will do so in short order. Many of the lower voltage bulbs were made for very low voltage battery-powered systems used in rural areas, and will be instantly obliterated by modern household voltage. Over the years I have seen many an eBay seller list an old light bulb that doesn't work because they "tried it in a lamp and it popped". Some of those bulbs were pretty desirable to me... when they still worked. A select few were still desirable, but only with a massive discount. The sight of a rare antique light bulb powered at full blast on a random socket in someone's living room is always disheartening.
I see many eBay sellers put up collectible bulbs for sale in "as-is / untested" condition. Unless you don't mind getting far less $ for your bulb than it is really worth, or even failing to attract a buyer altogether, don't do this. Instead, test your bulbs for continuity with a multimeter. I'll explain below:
First, you will need to find a multimeter (also known as an ohmmeter). Most people who fix things around the house themselves (the "DIY" people) own one. Also anyone who works daily with electricity, or likes to fix or fiddle with electronic/electrical things, has to have one of these, so you could borrow it from them. If you don't have a friend or relative like this and you're not sure you can do this correctly on your own, you could ask an employee at a hardware store for help.
There are digital and analog multimeters. Multimeters are not very expensive: You can get a basic digital multimeter for less than $10.
To test an incandescent light bulb for continuity:
1.- Connect the probes to the multimeter if you haven't already.
2.- Rotate the multimeter's switch to where the OHM symbol (Ω) is located (this should turn the multimeter on).
3.- Notice that when the tips of the probes touch each other, you can see that the numbers change on the display. When not in contact, the display should show all zeros.
4.- Place one probe on the threaded part of the base of the bulb and the other probe on the round metal plate at the bottom. Do not touch the metal tips of the probes with your fingers while you do this (it could cause a false reading).
5.- See if you get any numbers in the multimeter display. (that's the electrical resistance you're measuring).
If the base is heavily rusted, you may have trouble getting a reading. Normally when rust is a problem you would simply scrub the rust off and then try again, although in this case, depending on how you do it, it could damage the look of the bulb, so I can't recommend any sort of scrubbing. Look for the least rusted part of the base and use that instead.
... And you're done! What you actually did was test the bulb to see if electricity still flows through it. If the filament is broken, chances are it can no longer do this and there is no continuity, so if your multimeter displayed all zeros, then your bulb probably does not work. Be sure to mention the result of this test in your auction listing. Even better, take a photo like this.
Note: Some old light bulbs (such as the Westinghouse pin base bulb shown above) don't have threaded bases or a round metal plate contact at the bottom. In this case, you will need to find out which parts of the base are the contacts. But it should be relatively easy to figure out. For example, in the photo above you can already see that the bottom contact is the pin on the end of the bulb. Pretty easy!