I recently had the same problem on my '09 Roadster. I found that the (lamp) end of one of the two wires had simply corroded and fallen out -- the fog lamp had been wired into the loom with butt connectors (you won't believe what that turned-up when I googled them to get replacements....).
I cut-out the old connectors, and a multi-meter showed that the live feed worked fine, and the earth to the lamp showed continuity. The bulb itself was working fine. I ensured no more crud would get in, by using a 6" length of heat-shrink tubing (remember to slip that on BEFORE making the connections !). An easy fix (use a proper crimping tool to ensure good joints); crawling around under the car was the most difficult part.
