My 95 E320 wagon blows taillamps one right after another. I have heard 2 reasons: 1.) European cars have had exterior lighting issues for years and will continue to have them (My neighbor has an '01 Volvo S80 with major outside lighting issues too)
2.) On MB's the cruise control is somehow wired into the brake lights and this can blow bulbs.

Your car is new enough to probably have some sort of message center in the dash that tells you when a bulb is out? We have a 96 Explorer LTD with this feature, and one headlight wouldn't operate. It turned out to be the bulb monitor which tells you if the light is working or not. This could be the case with your car.

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2002 Mercedes-Benz E320 4Matic
1995 Mercedes-Benz E320 Wagon
2005 Land Rover LR3 V8 SE
1999 Audi A8 4.2L quattro