LED's are bright but don't have much light output like stated above. BUT, the new Audi's are using some high powered LED headlights, pretty cool the advancements in LED lighting.
HID's output more light than halogen and a lot more light then LEDs.
For HID's, when you buy them, you'll usually buy an HID kit, which contains the HID bulb, harness, and ballast to power the bulbs. It basically plug n play unless you want to run relays.
LED bulbs are even simpler plug and play. They are just like halogen bulbs, you guy an LED bulbs and install it like a halogen one, done. Depending where you use the LED bulbs, you might get a bulb out warning message.
If its for the fogs, then you wont have a bulb out message for the LED bulbs.