The marching band loaded the instruments onto the school bus and headed to the state competition.

In the sentence, the following phrases can be replaced with personal pronouns:

1. "the marching band" can be replaced with "they" (if referring to the members of the band collectively).
2. "the instruments" can be replaced with "them" (when referring to the instruments collectively).
3. "the school bus" can be replaced with "it" (referring to the bus).
4. "the state competition" can be replaced with "it" (when referring to the competition).

So, the personal pronouns that can be used are "they," "them," and "it."