Just a bulb, listed as H3, 55W in the owners manual. (The owners manual does come in handy for little things.) If I remember, I just walked into an auto part store and asked for a foglight bulb for my car by year and model.
Oh yes, the ever fun fog lights. The worst part is the replacement. Some go with removing the plastic bits and bumper cover to get to the bulb holder. Some don't. I've found the way without removing plastic bits to be quite a time saver. Here is a link to those directions. Keep in mind though, they are for the NG900, I'm not sure if the 9-3 is set up the same way, but you can start it out and see if they are set up the same.
It's extremely easy to change a 9-3 foglight, much easier than on a NG900. Just jack your car up and stick your head under the bumper. You can probably see the fog light right up there. There's a ring that twists, and the bulb pops right out.