Here is a link to the Fog Lights Schematic
http://home.comcast.net/~ebaychewy/wsb/media/224376/site1018.JPG
Do you have a voltmeter, or even better a selectable multi-meter? Any $10 analog meter will do, or you can splurge on a $20 digital meter at Wal-Mart.
Start by disconnecting a bulb and verifying that you have 12VDC on the plug at the bulbs, then work your way back if you don't. NOTE: don't touch both parts of the plug with the same test lead or you will blow a fuse and add to your problems.
If you
DO have 12VDC on the purple and black bulb wires then it's the bulbs. :rolleyes:
If you
DON'T have 12V at the bulb with the test leads on the purple and black wires....
-Check with the red test lead on the purple bulb wire and put the black lead onto a good metal ground inside the engine compartment to make sure the +12V is there at the bulb. You lost your ground to the bulbs if this shows 12V, trace the wire back looking for a loose wire/plug or post the results for more help.
-Check with the black test lead on the black bulb wire and the red test lead on the red post of your battery. If this gives you 12V then the + supply isn't getting to the bulbs. Recheck all fuses (with an ohm-meter, they should indicate the same as when you touch the test leads together). If the fuses are good I would try replacing the relay next, but the relay also supplies the + for the dash light, which you say is still on
GOOD LUCK! Let us know what you find.
edit:
I forgot to mention....The On/Off 'Switch' is just a momentary contact that tells the BCM to "change the status of the fog lights", it isn't an "On=closed contacts/Off=open contacts" type of switch like the ones that turn on your lights at home.