Let's start with something simple. Swap the bulbs left to right. If the right one starts working and the left one quits, I'd say the bulb is bad. If it still doesn't work, could be wiring, relay, fuse. But you said you checked the fuse.
1995 325I, window tint, K&N, debaffled airbox, BMW #104 wheels, Nighthawk low beams, smoked side markers, smoked corners, smoked taillights, M3 stlye heated mirrors, various interior bits, Bosal cat-back.