Air bag light came on and now headlights wont turn on?

check the ground wire for the headlights if they are good then you may have a drl module problem that needs to be replaced,

Without testing i would say you have DRL control module problem , But that would just be a guess .
In the night mode, the DRL ambient light sensor senses darkness. Then, the DRL module turns off the front turn lamps and turns on the headlamps through circuit 10. The DRL module also turns on the park, side marker, license, and tail lamps. If the engine should stall with the DRL control module in the night mode, the DRL control module will turn off the headlamps and leave the side marker, park, license and tail lamps on while the engine is being cranked. The headlamp switch operates as usual.
The Daytime Running Lamps (DRL) control module is designed to automatically operate exterior lights depending on outside light conditions. The DRL control module operates in two modes, the day mode and the night mode. In the day mode, the DRL ambient light sensor senses daylight. Then, the DRL control module turns on the front turn lamps (non-flashing) if under the following conditions:
• The ignition switch is on.
• The headlamps switch is in the OFF position.
• The park brake is released.

The brightness of the Vacuum Fluorescent (VF) displays is controlled by two signals: the park lamps on signal (circuit 230) and the VF dimming signal (circuit 308). With the park lamps on, the VF display of the radio, heater, A/C control (with RPO CJ2) and the instrument cluster will dim for nighttime viewing. When the park lamps on signal is not present (park lamps off), the VF displays are at high brightness for daytime viewing. When the park lamps are on, the I/P lamp dimmer switch provides a signal (VF Dimming Signal circuit 308) which controls the brightness of the VF displays when the I/P lamp dimmer switch is adjusted.

Do the Daytime running light's work ?

Headlamp relay contacts could be stuck together causing the headlamps staying on , or the lamp control module is bad .

I think you either have a defective bulb socket or you still have a ground problem, that is the only thing that can cause this, the ground issue may be caused by the turn signal switch as well.

It could well be a relay.

You need to buy a whole new clicker, same thing happened to me, eventually your bright lights will end up not clicking off or vice versa. and your turn signals will mess up. Get a new clicker, it's the easiest solution, but not the cheap one. mine was like 200$

Check at the headlight sockets for a bad ground.

Take it to a dealer. You may even get him to laugh and show you how to turn it off.

the inner lights are the brights but some vehicles also use the bright lamps with low voltage as the daytime running lights

I had the same problem. The solution is simple; the ignition switch needs to be replaced. This is an easy do-it-yourself project. Here are instructions:
http://forums.vwvortex.com/zerothread?id=2532481
Check for a switch on ebay, they are about $15. After 10 years they wear out.