Replacement bulbs: Radio Shack # 272-1092 or Lamp Type 7219(12v, 60 mA). Sold in packs of two for about $1.49.
Once you've done one, you'll be astonished at how easy it is.
Pry the switch out of the dash using a small flat-bladed screwdriver. As Ari says, tie something around the electrical connector to keep it from slinking back into the dash. When I take my passenger side switch out, the electrical harness also pulls the ACC unit loose. That's handy, because when the ACC unit is pulled out of the dash, you can get to the seat heater switch connectors.
Ari, who knows everything about Saabs, says, "Pop the back off the switch and pull it out." Maybe his switches are different from mine (my car is a 91, his is late 80's), or maybe I just wasn't bold enough. At any rate, I found it better to go into the front of my switches. There are two tabs on each side of the front of the switch. Use something thin and sharp (like a utility knife blade) to lift the tabs. Slide the front off the switch. Doesn't that sound easy? It's not, of course. Pry one tab loose with the knife (careful - this is an excellent opportunity to end up like the pirate named Bates), then slip a very small screwdriver blade in to keep it pried. Now pry the second tab loose and you should be able to slide that side of the front cover forward. Having done it once, you probably can just muscle it loose subsequently (the tabs appear to be spot-glued). Repeat for the opposite side. Remember that once you've broken both sides loose, you should be able to just pop the cover loose with a bit of muscle.
You'll see the green molded plastic cover over the bulb. The two thin bulb wires wrap around and are soldered to two posts; in addition to powering the bulb, this retains the bulb and its cover. Note that the "posts" are actually parts of a circuit board and that the solder connection is only on one side, not all the way around the posts.
Grasp the loose end of the wire with needle nose/small diagonal cutters/tweezers/whatever works, then heat the solder joint with a small soldering iron; when the solder melts, unwrap the wire. NOTE: The solder joint helps retain the bulb cover, so you'll have to remove almost all of the solder. A "solder sucker" helps tremendously. You can get a cheap plastic one at Radio Shack.
When the solder and bulb leads have been removed, slide the bulb/cover assembly forward off the posts.
Remove the old bulb and put the new bulb into the green bulb cover. I had some old bulbs lying around that looked identical. They may not have been the Radio Shack bulbs. At any rate, I had to force the last bit of the bulb into the cover. It wasn't a problem.
Install the bulb cover onto the post and wrap the leads around the post - one turn - and leave a bit to grab hold of next time. Heat the wire and pad with the iron and flow solder onto the joint - a little dab'll do ya.
Set the switch thumbwheel on the cover to the off position, then flip the switch activation arm up. Now slide the cover onto the switch and let it snap into place. Test the switch operation to make sure you got the arm aligned correctly, then reconnect and install it back into the dash.