Is there a cheap way to do it? I would like to build a VU meter using 220V light bulbs instead of LED's, but I see that the only way would be to use relays, which don't seem to be cheap (maybe I'm looking at the wrong places?). So what would you suggest me? Is this even possible without relays?
Can you spell TRIAC?
How many bulbs and of what wattage are they?
eBay have cheap (to my mind) relay modules that can switch 10A @ 250V (2.5 kilowatts) each.
Cheap way:
As I feel the need to point out every time I see it. Switching mains AC can be quite dangerous, though it doesn't look like you are modifying your house at least. Make sure you use appropriate wires and don't take shortcuts. You can hurt yourself or start fires. Otherwise yes, relay shield.
PS make sure you switch the Live and not the neutral.