If you had leccy problems due to a furred up battery terminal or the battery itself it'd probably effect more than a few random bulbs which share a common supply
The air direction control... which bit isn't lighting up and which bulb did you replace? If it was the one under the knob that only lights the arrow on the knob itself, the symbols around it and the temp wheel are lit by another bulb which is in the heater panel. How to thread here...
http://www.mbclub.co.uk/forums/interior/61201-how-change-w124-temperature-dial-bulbs.html although you don't need to undo all those screws and release the entire heater panel to unclip the perspex 'light boxs', they can be removed with it in situ to reach the bulbs once the wood trim is off
Similar deal with the headlight switch except that the arrow on the knob isn't supposed to be lit, the bulb underneath it is the tell tale for rear fog lights. As with the heater panel need to undo the 24mm nut under the knob and remove the trim to get at the bulb for the light switch surround. In this case the trim panel just unclips once the nut is removed
When you say the instrument cluster sometimes doesn't work i assume you're still talking about lights and not the gauges themselves? The odometer trip reset button is also a dimmer control that effects all the dashboard lights and they are known for getting fussy with age and resulting in all the dash lights going out, sometimes randomly (bumps etc) sometimes when it's used. Playing with it often brings it back to life or at least finds a spot on the track that makes better/more reliable contact. If it doesn't then need to pull the instrument cluster to get at the potentiometer
The bulb for the gear selector is under the front left corner of it. To remove the centre console trim unclip the plastic shifter surround (pulls straight out) and remove one screw at the rear edge of the wood under the cubby box (carpet if it's an open tray) which'll allow you to lift the back of the trim piece. The window switches will prevent you from lifting it far, they're clipped to it as a block and need releasing while the heated seat switches at the front have individual plugs i.e. the switches stay with the wood unlike the windows. The front edge just hooks under the ashtray
ETA all of the above is based on the pic of a w124 you posted, not the c250td i've just noticed you have listed as your car