This
and this.
go here for info on lighting... lots of really neat options out there.
HiDplanet : The Official Automotive Lighting Forum - The Buzz
as for retrofitting.
It all kind of depends.
If you are mechanically inclined and pretty crafty, you can get the pieces you need from the junkyard. Basically all you have to do is get a projector, and mount it into your stock headlight housing.
I've seen people buy cheap "HID" housing off of e-bay for 30 bucks. Cut the backs out. Shove a projector they got from the junkyard in there. epoxy it all together, then use one of those cheap HID kits, and call it a day.
Usually turns out ok.
But as you will learn from reading the info on HID planet, there is a major difference between the cheap bulbs and ballasts you get in those cheap kits, and the OEM parts you get from higher end cars.
Retro fits start getting really expensive when you want to get OEM projectors out of something like a Lexus or something like that, and use OEM light housings and all of that. The end product is usually better, but it is really a judgement call.
Its kinda like name brand wheels, versus knock off wheels.
Yes, the name brand wheels are better, but there are people that roll around on knock off wheels and it suits their needs just fine.
The key is educating yourself and then choosing the best route to take for yourself, based on actual fact and information you have learned.