Sometimes the bulb failure light comes on before the bulb has actually failed which can be puzzling! If all your lights appear to be working you will need to inspect the bulbs themselves. One or more will probably be black and they are the ones to change.
True. Replace any bulbs you find with the black or "smoke deposit" on the inside of the glass bulb. Those bulbs are starting to fail.
The real fix is to use VCDS to scan and find which bulb set off the error. Then, just replace this bulb. Problem solved 95% of the time on the first try.
The poor man's fix is to turn on all lights and walk around the vehicle. One by one, tap each light fairly hard. If you are lucky, you will see the bulb either flicker or turn on/off while you are banging it. Problem found 50% of the time, often takes days or weeks to find the intermittent bulb.
I guess I should mention the easy case. Walk around the car, see a bulb is out, replace the bulb and fix it. PS: last time I replaced a dead bulb, I still had to use VCDS to clear the error. The "Bad Light" error was still showing on the dash. YMMV on this and I think it "might" auto reset after 3 start/stop cycles.