You said you looked at the connection so I assume you made a visual inspection.
As a next step, you might try removing the headlamp assembly and testing that you have voltage at the socket. Here's a diagram that might help.
http://986forum.com/forums/diy-project-guides/44045-fyi-headlight-connector-pinout.html
Just keeping adjusting the light switch to turn on the various lights and see if you have voltage. If so, then the problem is in the headlight itself or you had a loose connection between the headlight and the socket.