Does anyone know how to remove the Cobalt gear shift knob on a manual. The original is ugly. I'm pretty sure that it doesn't screw off.

This should help.
Cobalt shift knob (http://www.youtube.com/watch?v=hH2qZPIK7jQ)

pain in the ass

At least this way the knob will be on there solid and there is little chance of the new knob rattling. Still, having to glue a knob on, not a fan of that. That doesn't do anything to the warranty does it?

Not unless the shift knob is under warranty... I wouldn't think you would void your warranty by changing the shift knob.