check the bulbs of course, but I'm sure you have done that.
Check for any broken wires by the headlights, maybe a bad ground on the headlight wiring. perhaps the switch itself is burned out or has a broken wire behind it.
Somewhere in there you will find the problem.
You could test the lights by using a battery on the bulb itself it that works, then you can try other things test the wires and switch with a multimeter and see if you are getting voltage to the switch, lights, and all along the wire.
I dont have wiring diagrams or anything, I'm not a tech, but I have done car stereo installations, fog light instralls, car alarm installs, and I have dabbled in DIY projects on all my cars.
I have a knack for these things,I once ended up rewiring the park shift interlock on my jeep when it failed so I could drive the car to get it to the mechanic for replacement. I had no idea where to start, so I traced wires with a multimeter, and located the part I needed to rewire, which was basically just grounding the circuit so the switch would believe it was engaged. I couldn't push the tranny button at all until I did this.
Hope that helps,
I'm sure benzmac or mb doc or steve ca help ya with more infor or more specific info.