Hans47:

Check the metal rails that hold the taillight bulbs in place. They get loose over time with vibration and create all sorts of weird ground problems...even if the bulbs all seem to work and the bulb out indicator doesn't come on.

Press on the metal rail near each bulb and see if the bulb behavior changes at all.

Also, is it the side marker light that is out on your car, or the extra fog light circuit? Note, the fog bulb is absent on one side so there may be a socket available but no actual circuit to power it.

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2009 ML350 (106K) - Family vehicle
2001 CLK430 Cabriolet (80K) - Wife's car
2005 BMW 645CI (138K) - My daily driver
2016 Mustang (32K) - Daughter's car