Are you talking about the lights in the climate control unit? There are three bulbs in there that provide the backlighting when you turn on the headlights. I just undertook it for the first time half an hour ago. Took about half an hour for me to get the center console apart (there are lots of posts that explain how, but in a nutshell, two phillips head screws in the ashtray, and two more under the blank above the stereo - gently pry the two retaining tabs at the top (easy to see by shining a flashlight into the blank sleeve of the cubbyhole), then use a wide standard screwdriver or some such device to gently work the dash loose). Unplug all the connectors, unscrew the three screws holding the climate control unit onto the dash panel, and pull it off. Pull off the rear cover on the box and unscrew three small phillips head screws, take out the two circuit boards, and there are three light bulbs with green sleeves over them on the lower board. Those are what you are after - they twist and come right out. Dealership quoted me $7 each for the bulbs.
-Bob