They are VERY easy to change - just twist the bulb socket out of the headlight housing, change bulb and screw socket back in.
I tried some (xenon/blue) D.O.T. approved bulbs off e-bay but returned to original bulbs. After the coolness of the blue light wore off the xenon/blue bulbs just didn't appear to be as bright, they had a blue tint/paint over the bulb wich obviously dimmed the brightness.
those cheap xenon bulbs are not HID. they are painted halogen bulbs and many can destory OE parts and blow out very quickly due to a few reasons. real HID is a few hundred dollars. as far as changing halogens, they are easy as pie and your owners manual tells you in detail. piaa makes many bright lights for our cars and sylvania makes the silverstars. i have used both and i am pleased with both. piaa has a wide selection of different color and color temperature bulbs. sylvania silverstars are nice in that they are a relatively white light and they are cheap and reliable. if you use either of these names, you will see a HUGE difference and be very pleased. whatever you buy, do not buy a wattage above what the manual instructs you to buy; doing so otherwise can result in a huge headache from multiple problems.
Oh yea, and if you have real HID and want to do it right, you need a fixture designed for HID. The halogen fixtures fitted with real HIDs will blind everyone in your zipcode.