Intermittently working headlight, bulb dead or igniter?

[evo]

So I've never had these HID xenon bulbs before, my last car was just regular normal bulbs that when they blew, they blew and that was that.

However in my 2008 D3, I'm having a weird issue since I got it:

If I start the car and the lights come on (if its dark enough out!) then the headlights work fine. However, if I turn off the lights then put them back on, say if i stop at a shop, park up then get back in and restart the engine - most often than not the near side headlight does not come on anymore and the dash screams an alert saying the bulb is out.

But, this is the thing... if i keep switching the headlights off and on, eventually I get the bulb back on, and the bulb warning thing on the dash obviously then disappears.

So never having had D2S HID bulbs before - is this normal behaviour when a bulb is going? Or is it the same as my old standard bulbs on an old BMW, where if it was the bulb that was out - then truly the bulb would never come back on again.... if so, what could be causing this?

Anyone else experienced this?

Passenger side, 2008 3.0 TDI D3