You can pretty much replace them with whatever strikes your fancy. If you replace all four with incandescent mini blinkers , the blink rate may increase (like it normally does when one bulb goes out). LED blinkers sometimes do this, and sometimes the won't flash at all. In that case, you need to replace the flasher with one setup for use with LEDs. The same folks that sell LED blinkers offer LED-friendly flashers, too.
As for thermals... I just use normal ones under the pants and a sweatshirt and electric liner under the jacket. Heated grips keep my hands warm nicely.