Well....I have no third brake light
As far as cheap bulbs....hmm. I have bought new H4 bulbs for the headlights, but they were by no means cheap, and the indicator comes on on marker light position, so I am assuming that the trouble bulb is a marker light. I cannot recall if I have a new bulb in one of those or not...but they work!
Here's another "twist" to this that I just remembered. I had the wood refinished that goes behind the steering wheel. So I had the cluster out. If I recall correctly, the bulb out indicator only started coming on after I put the wood/cluster back in. Could there be something in the dash causing this?