I believe this question has been answered here
Shorthand overlay specifications for bold text
But just to give a quick rundown, to get what youre looking for you would have your list written as
\documentclass{beamer}
\begin{document}
\begin{frame}
\begin{itemize}[<+-| alert@+>]
\setbeamercolor{alerted text}{fg=black} %change the font color
\setbeamerfont{alerted text}{series=\bfseries} %make alerted text bold
\item<1-> Hello \alert<+>{World}
\item<2-> Hello \alert<+>{Earth}
\item<3-> Hello \alert<+>{Sun}
\end{itemize}
\uncover<+>{} %make the list all change to unbolded
\end{frame}
\end{document}
Make sure to include the empty \uncover command, otherwise the last item will remain bolded.

If instead you wanted the entire line to be bolded, you could instead do it as
\documentclass{beamer}
\begin{document}
\begin{frame}
\begin{itemize}[<+-| alert@+>]
\setbeamercolor{alerted text}{fg=black} %change the font color
\setbeamerfont{alerted text}{series=\bfseries} %make alerted text bold
\item Hello World
\item Hello Earth
\item Hello Sun
\end{itemize}
\uncover<+>{} %make the list all change to unbolded
\end{frame}
\end{document}