Kenny,

No problem at all. Butchman and gavinl pretty much summed up what I was going to say. Now that I think about it. I think you should be fine just by taking off the overhead light section instead of the whole headliner. As far as all the fluids, like Butchman said, I think you're dealer is really conservative when it comes to stuff like that. Also, at the same time, they want to be using their stuff (aka you paying high prices for it). But I also think they don't want to be liable for anything. My dealer for example is totally cool with it. In fact, he's always looking forward to the next service cuz I come in with new stuff on the car. The K&N filter shouldn't do any harm whatsoever to the car as stated in the other replies. I'm using Mobil 1 Synthetic Oil right now on my C70 and the car (IMO) runs much smoother. I think for a higher mileage car you're better off with synthetic. As far as tires, like I said, they wanted you to buy from them. The Michelins that came with my car are over $200 a pop. Hell no! If I win the lottery maybe.
Oh yeah, for the lighting and E-codes and stuff, here a few a sites for your reading pleasure:
http://www.lighting.philips.com/forum/forum_6/wwwforum.cgi
http://lighting.mbz.org/
http://faq.auto.light.tripod.com/

For the sidemarkers, I don't know... Do what Butchman said. I don't have sidemarkers on mine as well, but I'm getting them from here: www.borton.com under parts. It's pretty cheap and the necessary harnesses are included. So if your car is pre-wired, you have a spare harness.
I'll post up my write-up as soon as I get my brackets in. Hopefully, I should get everything done by this weekend (not counting on it though)

Regards,
Mike H.
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1998 Nautic Blue C70 - minor mods here and there...and HID!!!