There is a bus, I believe it's No.4 it leaves from the Rodavario Terminal at 11.04pm and gets to the Church in Praia de Luz at 11.39pm. I know this because I put "Lagos Portugal bus timetable" into Google. As for a bus from Luz to Burgau I don't see why, not check the website!

I have just read that the 11.04 is on the summer timetable, it says that the last bus on the winter timetable is 8pm. As I say check the timetable.