Ugh... electrical can be a nightmare! I'd probably start by taking a voltmeter and see if you're getting power to headlights. Also check for a loose ground.
Check grounds behind headlight buckets, check fuses, was the switch getting hot when they were functioning?In the few weeks since you posted this, did you happen to find the problem? Driving home one night my yj that I bought three days earlier lost its headlights as well but the panel lights, dome lights, parking lights, and sidelights all still work. Is it really the switch problem? Or wouldn't that cause all the lights to malfunction?