The rear lights (over the back window) are a huge PITA. You have to pry the housing out enough to pull the tabs on the side of the cover enough to get it off. These tabs break very easily! Once you get the lens off, you can unscrew the housing to take it off and access the metal clips. Once you get the metal clips out, you can screw the housing back onto the clips, reinstall the cover, and push the whole assembly back into place.

For the map lights, start to pry from the rear edge of the housing cover. The plastic cover will come off, and you'll be able to get the lights out. Once again, be careful not to break the plastic tabs. These are a lot easier than the rear lights.

I believe the door lights just pry out, but my car didn't have them so I can't be certain.

For the vanity lights, just use a small screwdriver to pry the cover off.

I don't remember exactly how to get to the glovebox light. I believe I went in through the fusebox to get it out.

I was never able to get to the light over the ashtray. I think the center console may have to come out to change it.

The footwell lights don't have a cover. Just pull the bulbs out.