If it's the simple type with two big knobs for fan speed and distribution and two thumbwheels for temperature then the bulbs are in the knob spindles. Just pull off the relevant knob and there it is.
For the full climate control type with lots of buttons and a digital display it's a bit more complicated.
'08 Chrysler 300CRD (MB OM 642 engine)
'95 E220 estate
'89 230TE (R.I.P.)