If you have halogen lights, probably the bulb.

HID, could be a couple of things...ballast, igniter, or bulb.

I lost one side low beam once and I thought it was the bulb. Installed a new bulb and it still wouldnt work. Returned it and had to diagnose by swapping around parts from left to right. Turned out to be the ballast.

Bought a used one off ebay for about half the price of a new one.

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04 X5 3.0i auto
03 X5 4.6is