The bulb on my 95 940 is still out... after I found out how much trouble it is to replace. I have this quote from an archived post, if it's any help:

>Re: Gear Shift indicator Light -- What Bulb 900 1995
 posted by  someone claiming to be norfleet on  Thu Apr 19 06:44 UTC 2001

depending on the year, the gear shift lever light can be easy or extremely hard to replace.

the 1995 (and possibly 1994) have the light bulb mounted in a small square plastic holder (about 1/4 inch square) with two wires about 24 inches long. The bulb is not replaceable by itself (the entire set up is about 20 dollars). There is no discussion in the factory manual how to replace it (or even where the wires go). It is a real pain -This is what you have to do.

remove every thing from around the shift unit (this includes both side panels, all of the plastic housings, the ash tray and the fuse unit). Do not try to take apart the shift unit itself. Look at the drivers side of the shift unit and you will see two wires (white and yellow) going into the lower part of the middle of the drivers side of the shift unit. pull those wires straight down and the plastic housing and bulb will pop out. The wires themselves loop beneath the fuse unit, then along the passenger side of the shift unit, then beneath the passenger floor mat. You will have to have a narrow snake about 12 inches long to feed the wires beneath a heating duct in the left side of the passenger floor (very tight clearance). The connector is on the left side of the passenger compartment about ankle height (below the carpet). Once you find it, it is easy to replace the wires in the housing.

Feed the new wires back into place. Now comes the fun part. The new bulb housing just snuggly fits into a square hole at the bottom of the left side of the shift unit. If you use a mirror you can see it. You have to get it just right (it takes time) and it is a very aqward hand position - but you can do it. Now put everything back together.

I suppose you could cut the wire just below the fuse unit and splice in the new wires. The bulb is friction welded to the connectors in the plastic housing. I have not yet figured out how to replace just the bulb.<