2002 Impreza WRX

There are four things that could be causing this, listed in the order of ease of repair/checking :

1) The fuse is blown 2) The bulbs are shot (unlikely for both bulbs to burn out at once) 3) The button is bad 4) Faulty wiring somewhere

So start by checking the fuse and making sure all visible connectors are tight.

jesse wrote:

0) You are on "running" lights and not actual headlights. Fog lights won't turn on unless the headlights are on. The running lights are just bright enough that you could believe the headlights are on when they are really not.

The fog lights also turn off when high beams are on I believe.

Steve

This isn't as unlikely as you might first believe. Both bulbs have seen the same usage, and have approximately the same lifespan. What often happens is that one burns out and you don't notice because the other is still casting the familiar light pattern. When the other goes, then you notice that NOTHING happens when you push the switch.

BTDT on another car.