One day my headlights just simply stopped working in my 1999 Audi A4. The headlight bulbs are fine, the fuses are fine. The brights work correctly and so do the driving lights. When you turn the headlights on the light appears on the dash, but the lamps simply don't turn on.

you need a new combination turn signal headlight switch. dont try to do this youself as you have to remove the steering wheel and airbag. maybe 1.5 hours of labor or so

The same thing happened to me, in my 1998 A4. I was out of town and preparing to drive 500 miles home the next day through a snowstorm. The brights would come on when I held the lever forward. The out-of-town dealership didn't have the switch in stock and would have had to order it, so I ended up driving home with only fog lights. My hometown dealership replaced an electrical switch in less than an hour. I had called in advance to let them know I was on the way, so they were ready and waiting for me. As an aside, the guys at the out-of-town dealership applauded my mechanical ingenuity when I suggested duct tape as a quick fix to get me home ("only a Southern girl" they said).

check the earth wire coming from the lights themselves, thats its clean and touching bare metal.