Since the '94 models GM has chosen to not allow us to buy radio service manuals so they can lock up all the repair business for themselves, but on the older models we can work around that. On some models with the smaller faceplate, you pop the faceplate off and a small circuit board comes out with it on the upper left corner. There is a bulb in a socket, hanging down from that board. Some dealers will order that bulb for you but GM is very proud of it and prices it accordingly. Most dealers will tell you they can't order radio parts. I solder in "grain-of-wheat" bulbs but they must be oriented so the entire filament faces the display, not to the sides.
A lot of Pontiac radios have three cylindrical bulbs soldered in. I have universal replacements but they're just long enough to not quite fit without taking extra care to shoe-horn them in. On that nifty design there are no wires to the display. When reinstalling it, there are carbon pads that conduct the current for the display segments. That unit has to be oriented properly for the display to work right. That's usually not a problem as long as the bulbs are positioned correctly.
If you have the newer radio with the taller faceplate that showed up in 2002 models, take it to the dealer and have them send it in to one of their two grossly over-priced repair centers.