So based on the advice, I bought a combi switch -- $162.
Installation was simpler than I expected -- BUT --- it didn't fix the problem.
No low beam head lights, signals don't work.
SO MUCH FOR THE DEVIL BEING CORRECT.

@chocalotstarfish: do you know which relay failed in your car?
I did not notice before, but my wipers don't work either.
All my fuses check out okay (first thing I checked)
Bulbs are okay, I took them out and tested individually.

 

Sorry man, going on precedent here. In almost 6 years of active Audi work, I've never seen a failure of the headlights that isn't the combi switch, as I'm sure has largely been there experience of the membership here. Combi switch failure (and subsequent loss of headlights) is a well-known and well-documented problem on these cars. Search out something along the lines of "headlights don't work" and I'm sure that'll be what you find. Win some, lose some although it sucks when it doesn't work out. Hopefully the relay Don mentioned will fix it.

 

DEVIL: No Problem!
If nothing else I've gained some experience with the steering column anatomy.

 

LOL that's true, and honestly, you may have ended up heading off a future problem. Save your old switch though - there's a slider that contacts the pads inside to trigger the lights. There's no headlight relay setup in the car, so full headlight current runs through the switch. With headlights, fogs, and rear fog on, the switch has 23A of current running through this plastic slider with two small copper contact bars. The heat can distort the plastic, pulling the bars off the pads and causing the failure. Save your switch so that if you do have a future failure, you can swap the guts out and be good to go.

 

Update: I've removed all the relays that I could get access to and semi-tested each one. I applied +/- 12V to the solenoid terminals and heard the relays give a healthy "CLICK". I did not verify continuity through the switched terminals. I guess I need to spend the time do a better bench setup for all that. (Although it's highly probably that if the relay is clicking, it's working).

Also I found more fuses under the dash near the firewall, all are okay.

Checking the cables was mentioned, I'm very willing to do that, but if anyone can offer guidance as to where interconnects are - other than at the light housings. BTW, this car has the single-piece housing with multi-lamps.

I tried searching a few times as suggested, unfortunately I tend to get a gazillion results that don't apply to my inquiry, or I get nothing at all. Is there a sorting algorithm or a syntax format that I should be aware of?

 

I want to say it was the 2nd or 3rd big black relay.

 

I thought I checked everything; relays, fuses, bulbs, wiggled wires, checked ground path, so forth. Eventually I got back into the column where the combi switch is, and since the ignition switch was just sitting there i decided to dicect it. Fortunately it has the tumbler and rrear switch portion just like BMWs (which i'm used to). I see the electrical contacts are burned, plastic is heat distorted.

So, my head lights and signals were dead because a portion of the IGNITION SWITCH failed. If someone had mentioned that I would have swapped it along with the combi, because the igntion switch was less than $20 bucks. I don't mind changing the combi because as The Devil mentions, it's a common failure part so I consider it maintainance. But if you guys could, please mention that the head lights are triggered by the ignition swich -- it would have saved me a ton of hours and gotten the wife off my back sooner.