From your, post I'm guessing they are not coming on in any configuration (not with either door and not with the headlight switch). If not, be sure to do so and rule out the door switches. Also, make sure you are getting a good ground and check the underdash light bulbs (I know it's unlikely they'd fail together, but it will take one minute). After that, it's a problem with the headlight switch (and/or the connector), wiring, or getting power from the fuse box.
After checking the easy stuff, I'd start at the fuse box and go up the circuit with a multimeter checking for both voltage and continuity. Turned out to be rust on the fuse box terminals for me -- a bit less likely for you, but I'd still check while hunched under the dash.