I see them below the headlights, but they don't work. One side seems to be missing the socket as well.

What are they? Parking lights?

 

parking lights, side marker lights, turn signal lights, hazard lights...volvos have a lot of light bulbs O_O

i say take a photo and post it

 

 

hmm, hard to tell the bulbs position in the headlight assembly.
please take a photo further away and point out the bulb in question.

 

Yea, I know its a lousy picture, but, the headlight bulb is above the little "flashlight" looking bulb. It won't light up. Neither do the side parking light bulbs.

They look like one heck of a pain to change too.

 

Those little bulbs are used with the yellow button on the key fob. The yellow button lights up some rear lights, the lights on the underside of the side mirrors, and those little lights. I've found them helpful in situations like finding something I dropped next to my car or if you're tent camping and it's dark out, you can light up a small area with them.