I have a 95 E320 and have successfully changed the bulbs on the passenger side and middle vent control wheels.
First - be patient - it takes some care and tiime.
Passenger side - note that the 95 E320 does not have a glove box, but a passenger side air-bag.
Undo the 4 clips which hold the vent in-place while applying pressure to remove the vent. I used a gas pliers whose jaws were wrapped with duct tape to get a good grip on one one of the louvers and slowly worked back and forth undoing the clips and sliding the vent out. Once it is out, the bulb socket can be unclipped from the louver and the bulb replaced.
Middle vent -
1 - disconnect the battery
2. underneath the dash under the airbag, there is a single screw - remove this screw which allows you to slide out the airbag enough to gain access to a screw which secures the middle louver assembly (this is the same screw which is accessable when the glove box door is open - but no door on the 95 E320)
3. get out the gas pliers with the duct tape and slowly work out the vent as described on the passenger side.
4. Again remove the bulb socket and change the bulb.
5 Re-assemble and slide the air-bag back home and replace the screw below the dash.
Reconnect the battery.
When I did this, it took me about a 1/2 hr for each bulb - on average.
My drivers side has yet to burn out - and I'm glad!
1995 E320 Sold at 288kmiles