Good one coby, your headlights are running in a parallel circuit, if you understand circuit operation, if one headlamp is completely out..here is something cool to do and works...first, take out your headlamp relay that is not working, should be either RH or LH, look at the relay to find (should be a standard 4 point BOSCH type) where the connector runs to make a straight line. Take a wire (18 gauge single wire like from a speaker). Tap each end where it shows where the connection would draw a straight line, if headlight turns on with the lights set to on, then your relay is faulty and fuse is good. If not, then either you have high resistance on either connection or its an open in the circuit.
2009 Cobalt LS XFE U74
Mods: K&N Typhoon Intake, Option Cat-Back Exhaust, Cosmo Short shifter, Maxxim Ahead 17X7's, MPx shorty antenna, FE5 Strut/shocks, Tein S Techs, Moog endlinks, Moog spring seaters, ZZP shorty header, LSJ downpipe, LNF front grille