The filament is the actual part in the bulb which glows. A bulb works on the basis that when current is supplied to the filament it heat ups and this heating of the filament will make the filament glow like a glowing iron bar; that is for example when you heat an iron bar too much it turns into a red glowing iron bar.

So, the main working of the bulb is to supply the current to the filament it will get heat up and start glowing. Whereas the two thick wires are for supporting that filament into its place and the metal case has both terminals on it.