Following on from the excellent Step by Step guide from 'shiny_car'.
I thought I would carry on the trend...however I managed to follow a much simpler set of steps to achieve the same end goal. (Due to engine space, I think this is only possible on the 1.9 JTD and 2.0 JTS).
1) Open Bonnet
2) Locate back of headlamp
3) Push the two metal clips away, and remove the plastic backing from the headlamp
4) The sidelights are tucked away in the upper middle of the headlamp (see the above guide for guidance
5) Now locate the wires going to the lamp, and tug on them (they are durable! - but you know what alfas are like, some are fine, some might not be..so use common sense!) - make sure you support the other end of the wire..otherwise you might force the wrong end out.
6) After a bit of careful pulling, it should click out of place
7) If it doesnt fully come out, you will need a pair of long nose pliers, grab hold of the plastic bulb surround and pull. It should pop out
8) Now unscrew the bulb from the holder (push down and counter clockwise
9) Replace the bulb, go back in your car and turn the sidelights on.
10) This helps you guide the bulb back into the hole, by looking into the front of the headlamp
11) Once it is partially in, turn the lights back off...and use your finger to push the bulb fully in.
Pat yourself on the back
(I obviously accept no fault for any damage you cause in the process e.t.c)