Strange! The bulbs can go, but it won't affect the functionality of the heater. Are you certain the high isn't working. If you pull the gear knob surround up and unclip the switch, you'll see a little plastic screw thing. Unscrew it and there's a tiny bulb in there. Take that down to your local Maplins or similar store and they'll sort you out with a replacement. Then put it all back together. There is a thread somewhere about this as the same thing's happened to several people.
However, if your seat heating isn't working then possibly something else is at fault. Maybe pull the switch it and use a multi meter to check for continuity.