Check out this video DIY tutorial for changing the low beam, high beam, front turn signal, DRL and front side marker light bulbs in the headlight housings of a 2nd generation (2001, 2002, 2003, 2004, 2005 & 2006) GM Chevrolet Tahoe SUV.
The procedure should be the same for the Silverado, Suburban, Avalanche, GMC Yukon, Sierra, Hummer H2 and the Cadillac Escalade.
Here is the full tutorial –
2000-2006 GM Chevy Tahoe Headlight Bulbs Replacement Guide
Here are all of the guides for this vehicle –
2000-2006 GM Chevy Tahoe DIY Repair & Maintenance Tutorials