It's either a bad ground, or a bad switch connection, or a bad power feed.
If you have a voltmeter, check the voltage at the fuse. If you have 12 volts there, it could be your switch. if you can take it out, check the voltage in the back. Generally, you have a constant 12V side (either live all the time, or live when ignition is on), and the other side, which is connected to the lights. Check voltage at the leads to make sure it is properly supplying 12 volts to the load side.
If both of those check out, you either have:
1- a bad ground
2- a bad day (all your bulbs burnt out, which is unlikely )
I SERIOUSLY doubt if a relay is used in that circuit, but if there was, it could be a bad relay.