The lights on the center console by the gear selector, the window up/down buttons on the doors along with some misc. lights stopped working when one bulb burned out on my E420. Some of the lights were wired in series, so when one, a couple others followed.
Start with the fuses - that's the easiest thing. If they are okay, it's probably a bulb (see Norman B's reply).
If you do have to start pulling the car apart, there are some posts on upgrading the bulbs if the instrument cluster isn't bright enough for your liking.