Moedip has a point.
You might still want to check those headlight socket connectors - I started getting some intermittent action on my right headlight/high beam, replaced the bulb, still had a problem, then realized the connector had gotten so crudded up parts of it had MELTED due to electrical heat buildup on the parts that DID conduct.
Then I checked the other connector for the left lamp, and sure enough - it had been replaced, by the previous owner, so it had happened there before. I.e. it's a common problem.
My Benz parts place doesn't even carry the connector, because it's such a standard $8.00 part available in any auto supply store. Though in your case it might have been the relay, it could still be good preventative maintenace to replace those connectors. Also, instead of soldering up the lines to the connectors directly, you might want to get some Radio Shack nylon connectors and attach those to the wires, so the socket connectors can be more easily replaced again later in your car's hopefully endless life....
1989 560 SEL (black/black)
2001 Audi TT Roadster (silver/grey)