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Check voltages. Does your fusebox have power?

The single most common problem here is corroded connections. Wiggle to detect.

Checking power to the switch makes sense, but it's not a slam dunk. The headlight switch is also surprisingly early in the chain on these; oddly enough a failure at the connection there can shut the car down. Anyway, often it ends up being a loose connection type issue. Leave the key on and start wiggling wires under the dash, hoping you might hear a 'click' when you wiggle one and that'll tell you which wire has the bum connection.

In any case, don't go randomly replacing stuff until you know why. First wiggle wires to see if you get lucky, sure, but then get systematic. Bust out your test lead and start following voltage from point to point until you have no voltage where voltage should be. The schematic in your green book will tell you which wires to follow.