The left headlamp is fed thru the underhood fuse marked "DRL/EXT LTS"-15 amp fuse.
The right headlamp is fed thru "EXT LTS"-15 amp. The headlamp switch sends a signal to the body computer telling it to kick the headlamp relay located under the dash on the left side. Very common for relays to go bad, and for Body Control Modules to go bad. The best thing to do is make sure the signal is being sent to the BCM. And, yes, the ambient light sensor can cause your problem, also. The testing procedure for no headlamp operation is, to say the least, intense, and the use of a GM scan tool is recommended to speed things up.