Mine did the same thing. Turned out that after getting out of the car & slammed the door, the bulb (side marker) lit up - thus I had never seen any burn outs...Replaced it with a new one fixed the problem (the old one had the lead(?) end deformed which resulted in a bad e-contact when first turned on).

Frank.

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'86 560SEL | Silver Ext. / Blue Int. | 201K miles (Apr. 05) | 204K miles (Feb. 06)