In fact, the GU10 lamps have ordinary glass outers, so can be handled (cold). If you look inside the lamp you can see the separate halogen lamp which should not be touched and obviously cannot be anyway. The glass shroud carries the reflector silvering.
Halogen lamps for cars and projectors for instance often have the 'halogen' case exposed so should be handled as sara3 quite rightly suggested. If they are touched, a small amount of natural oil/grease from your fingers may be deposited and its presence will accelerate its deterioration when hot.