The only aftermarket radios I can think of off the top of my head that have weather band are the Jensen Heavy Duty line, which are balls ugly, but will fit in the dash.

You'll want a wiring harness adapter to connect between the new stereo's harness and the one in your car. Crutchfield will send you the exact one you need if you purchase from them, other shops may do the same.

Other than that, it's an easy swap. '95s don't have the dreaded fader wheel to screw with, nor the two-piece radio, so it's simply a matter of splicing the two harnesses together, connecting, and sliding everybody into the dash.

EDIT: Apparently Pyle makes a radio or two that has weather band as well, though I remain suspicious as to the quality of said brand.