The headlights themselves are on a different circuit than the interior light/running light circuit. It's not uncommon for the interior lights, front parking lights, and rear tail lights to all go out together, this is due to carbon build up in that part of the lighting switch. Axel Breaker posted a how-to to clean these up and restore. See
http://www.mazdatrucking.com/forum/showthread.php/13002-Head-light-switch-information
http://www.mazdatrucking.com/forum/showthread.php/10490-Combination-Switch-Exposed!?highlight=headlight+switch
This also happened on mine, about 5 years ago now, and I have a separate toggle switch under the column for switching on the running lights and instrument panel lights. "Someday" I'll either clean up my switch as above, or swap in the used part from my spare combination switch.