I've heard that halogen headlights should be replaced in pairs. I've been wondering if the same is true of HID headlights. They are much more expensive, so I would like to avoid having to buy two of them if one will suffice.
No, assuming they are the same as xenon lights bulbs, you don't have to. The only thing you will notice is a difference in color while the bulb breaks in, again assuming they are the same as xenon. We only changed them when they were out on BMWs.
No - with HIDs, the colour temperature is very well defined (after the breaking in, as Petro mentioned) so if you have 10k's, replacing one with another 10k will very rapidly be the same tone as its pair.
(I looked into this when I had one die, as the cost for a new one on my car was £600 - the answer was quite important :-) )