The headlamp control module/switch on the Crossfire and SLK is kind of a stupid design. The interior fuse panel is actually part of the headlamp switch assembly and everything runs through there.

When I upgraded my car to Xenon headlights the first time, I made the mistake of not using the included "black boxes" that cut high frequency interference to the other electricals in the car. The result? I fried my factory headlamp switch and the symptoms of this were exactly what you describe. Fog lights would stay on even if I didn't have them on, in addition to the other lamps including the city lights and the rear parking lamps.

If it does not end up being the Central Locking Pump (and note that on my car this pump wasn't even in the car when all this happened as it was water logged and damaged), or a low battery condition, I would turn my attention to the switch itself. Mine was replaced under warranty with an aftermarket part that seems to be holding up just fine, I believe even the aftermarket part still ran about 400 or so dollars.