I have an '03 WRX - when i turn on the brights they work, but when i try to turn them off, they stay on. There is a faint blue light where the bright indicator is in the gauge cluster whenever the lights are on (regardless of whether the brights are on or not, when they are on it is bright blue like normal). The only way to turn the brights off is to turn all of the headlights off with the switch and then turn the bright switch off and then turn the lights back on. Could this be the switch itself or a relay? I searched for a wiring diagram for the headlights on my car but couldn't come up with anything....

First, I would check the ground wires to the engine/manifold to make sure they are not loose.

We had this happen on my friend's 2002 and not only would the car not start, but the high-beam indicator on the dash would partially light.

Start with the grounds. If not, then it's possible that it may be the combination switch on your steering column.

Electrical problems are a pain to trace down.

Good luck!