ML320 Headlamp Question

Sorry for such a trivial question, but one of my headlamps is burnt out on our '99 ML320 and I'd like to know if there is anything special I need to know before replacing the bulb.

1] Should I go ahead and replace both sides?
2] Is there something better than stock that I should consider?
3] Do I have to get the part from MB or just any parts store?

Thanks in advance Members!
DRH