I took my headlights out this weekend and figured I'd post the information here so someone else can use it.
There are three bolts that hold the headlights in (4 if you have HIDs), however to get the lamp out, you will need to remove the front bumper cover. Reason being the bumper cover slips into a clip underneath each headlight. You don't have to remove the bumper cover completely, which is good news because you'd have to disconnect the fog lights and headlight spray washers if you did.... Just loosen it and slide it down far enough to get the lights out.
To take the bumper cover off, there are the 3 obvious plastic clips on top (pry these off with a flat screwdriver), two hex screws on each side where the wheel wells are, two screws hidden behind each wheel well liner (peel these back, it helps to turn the wheels to either side), two bolts and six screws underneath. To avoid scratching the bumper, I would lay some masking tape down where the headlights are because it take some wriggling to get the lights out. In all, it should be a half hour to 45-minute job to get both lights out. There are seven plugs on each headlight (if you have HID/AFS). The hidden screw holding each headlight in can be accessed once you peel back the wheelwell liner.