The bulb
To check the bulb you want to do a visual inspection at first, if the filament has obviously broken then you know its the bulb but if it all appears to be fine then the next port of call is to swap the indicator bulb over into the side you know to be working. So repeat the process for removal and swap the bulbs.

If it works like it did for me you know for sure it isn't the bulb and it is instead something with the light itself or connector.
If when you swap them the working bulb works in the previously not working tail light then you know the tail light works and you probably just need a new bulb.