They are cornering lights. Turn left/right below 45mph and the left/right fog will illuminate to give you extra visibility. Signal left/right also does this below 45mph.
In R, they will both illuminate.
2006 BMW E60 520d SE 6MT
2009 BMW E90-LCI 330d SE 6MT
Current: 2012 F30 328i Luxury 8AT
2015 Audi A6 Avant Ultra, Black Edition (sorry!)