We can upgrade LED headlight, brake, parking, reverse, turn signal and interior lights can all be improved four ways by going with LEDs:
Brighter light, in some cases vastly brighter.
Longer life, as a good LED bulb should last as long as your car.
Sharper cycling, which means a flashing bulb that is more attention grabbing.
Lower power consumption, including lower heat generation.
Make a list of how many bulbs in each size you need.
When you buy your new LED bulbs, bear in mind that a few cars have reversed polarity electrical connections and you may need LED bulbs that are polarity free. Also, don't be confused if the bulb lookup tools above indicate you need a red or amber LED to replace a clear incandescent. That's just an LED thing, due to the different quality of light they emit.
Actual installation is the same as replacing a bulb with another incandescent, with one big exception: If your car's turn signals or hazard lights flash quickly after you replace them with LEDs, that's called "hyperflash" and is your car's way of saying you have a bulb out. You don't, but the new LED bulb draws so little power, the car senses it as a blown incandescent.
The solution to that is a bit kludgy, though. Buy an LED bulb resistor kit and clip one resistor to the wiring at each bulb location, which increases the power consumption that the LED bulb reduced.