I love that little light, with it I am always instantly aware of a burnt bulb (or bad connection).

Before going any further, you need to make sure that all the bulbs are the correct wattage. If any of them are wrong (either high or low), the bulb warning system will be triggered. After all, it relies on a certain voltage draw when certain lights are on, therefore IT IS CRITICAL for the system to work properly that you have the correct bulbs.

Here are some steps to troubleshoot:
1) Turn key to on (not start), bulb warning lamp should be lit. If it's not, check the bulb warning module (described above)
2) Start engine, light should go off.
3) Right now you have no lights on. Don't put your foot on the brakes just yet. Is the warning lamp still off? I hope so.
4) Put your foot on the brake? Warning lamp on now? Check your brake light bulbs.
5) Turn on your parking lights. Warning lamp on now? Check your parking lights. Use the L/R parking light positions (to the left of center) to determine which side is burned out or has a bad connection.
6) Test the headlights, high beams and fog lights in the same manner.

From my experience, the front parking/turn signal lights are prone to having a bad connection. Also the fog light housing plastic is prone to cracking/breaking, which will cause the bulb to burn out. Lastly, the plastic that keeps the taillight bulb assembly in place is also prone to breaking. If it breaks, the bulb assembly will back out of the taillight housing and bounce around when you drive, causing bulbs to burn out.

Good luck.

__________________
-justin

1987 300TD, 1987 300TD
2008 R32, 2000 Passat Wagon