DIY is pretty straight forward - this project took me forty minutes and I did it in the parking stall outside my condo, at night. This DIY will show you how to: Replace your festoon light, replace your brake, running, and turn signal lights, install a LED Flasher Relay.
You Will Need:
2 x red 1157 LED's - I like the use the SMD's find they have best light distribution and brightness.
4 x amber 1156 LED's
2 x white 1156 LED's
2 x amber 194 LED's
2 x red 194 LED's
1 x Festoon Dome Bulb 3021 DE3175 (usually come in a two pack.)
To Begin:
Remove the trim along the door you basically just sneak your fingers underneath it an pull up.
Take the driver side foot panel off. To do this you'll have to remove this, this is the right hand side but it's the same. There is that black plastic bolt in the back which you unscrew, and then you pull the front outward, there are two clips connected there.
Then high up in the back you'll find the flasher relay, it's a little black box looking device, and it'll be the same size as your new one. It's a bit of a pain to get off, there are clips on either side of it that you have to pull up and then it slides off. It looks a little bit different than your new one, and will resist. But slow and steady and it'll come out. Id on't have a direct picture of this, but it's in this area:
Once that's replaced you can put all your panels back on.
To remove your tail lights you'll need to pull out the xmas tree clips from the carpet on the inside of your trunk. I find a pair of needlenose pliers works the best. Once you've done this you'll see two bronze looking bolts. Remove these bolts, and you can pull the light out a little. Then you have to pressure it towards the outside of the car and there are two clips that should just pop. Be careful though you don't want to brake your tail light. Once it is out there are three connectors that go into it, you remove these by twisting them counter-clockwise and then pulling them out. You'll then have this except yours will still be incandescent lights.

The 1157's replace brakes, the 1156's replace the turns, and the 192's replace the running lights. Simply push and turn to get the old lights out and then replace. Easy!. If your 192's don't work right off pull them out and install them the other way, they are directional in terms of the current that they can handle! Then re-install and repeat on both sides!
For the reverse lights you'll need to pull up a little bit more carpet on the trunk lid in the corners. Then it's the same twist and pull routine to expose the old lights. You'll replace these 1156's with your new ones. If you do colors be aware that you'll probably have a hard time seeing backing up. I've found that my bright whites give a different kind of light, but are just as good as the old incandescents. The better the LED's the better the light you'll get here of course!
For your front marker lights when you pop your hood there is a small philips screw you must remove:

Then you pull them straight forward to get them out. My passenger side slid out very easy, the driver side took me like 20 minutes. I just placed my palm on the outside and one finger on the inside and pulled. But if someone has an easier way of getting this out it'd be nice. On the inside of this piece you'll find one connecter with wires going to it, simply counter-clockwise turn, pull it out and replace it with the amber LED 194's that similar to the back, remembering that if they don't work at first switch the direction they go in.
Front Signal Lights:
O.k. so I haven't done these yet, but they will be straightforward. Simply unscrew the philips, lift from that side and slide them out. Unscrew the connector, change bulb, then re-install.
Festoon Bulb.
If you are in the driver seat on the passenger side there are two slots where you can get a screwdriver in. I always put some electrical tape on the end of the screw driver b/c it'll keep it from damaging the plastic. Put your screwdriver in here and pry the cover off.

You'll be left with the bulb exposed, take the old one out, and put in your new LED one (once again I used SMD) and then try it out. This is like other led's if it's in backwards it won't run so if at first no light then flip it.
Final Notes:
I find that I'm a really big fan of this change. It can be a bit costly depending on which type of LED's you go with, but overall it gives the vehicle a bit of a sharper look. Plus it's nice to know that you can leave your hazards on for a very long time before the battery will kill. My personal next project will be to do the dash with LED's as others have done.
Also, if you replace your brake lights with LED's then you must be aware that your 'tail light out' sensor will be on. Most just remove the light, or ignore it till it burns out. It is based on resistance, so you can add resistors. However when you add the resistors the system will become moot as the resistor will give continuity and resistance regardless of what your tail light is doing. Thus it is more cost for no gain.
MAKE SURE TO GET THE RIGHT FLASHER RELAY. For me it was a CF14, got it off the net, same one as IOVAY. Not sure about other Gen's.
Heres some Final Product Videos - one at night, one during the day: