I had the OEM rally lights installed before delivery, 4 years ago. About a year ago, I installed Ian Cull's Rally Light Relay so that they arm every time the car is started. So far so good.
A few days ago I guess, the rallys ceased lighting up with the high beams. Is there a fuse that controls just the rallys? The light on the arming button is still lighting up correctly.

 

There is a relay and a fuse that should be located in a small box near the brake master cylinder. (Assuming the dealer followed OEM instructions).

 

Thanks. There's no way in hell I would have found that on my own.
I pulled the fuse and it looked cheap but ok. So I put it back in. The passenger side light came on. I tapped the drivers side light and they both went off again. So I opened the DS one and checked the bulb, no problem. So I replaced the fuse with a new one and they both work happily again. Very odd, but they're working properly now.