My Front Right Turn Signal doesnt work (not blinking) BUT if you look on a headlight, that yellow bulb still works fine when your headlights are on... I've checked fuses... Has anyone had something like that???

 

You have to get the bulb replaced, it's faulty.
I have the same problem and the instrument cluster will 'chime' whenever it goes out of contact.
I had my right rear signal bulb changed at the dealer, it took like 5 minutes on the spot.

 

If its a B6 try banging on the fender and see if it magically turns on, if it does its the electrical socket, not the bulb.