HID's also burn so hot they need cooling fans. Otherwise you'll cook everything else in close proximity. Proper kits come with these and self leveling, but of course, they are expensive.
Nope, the aftermarket HID packages use less power for the same light output, so they generate less heat (on the outside of the bulb, on the inside they are way hotter!). Wait for the winter and there is ice on your car. If you have halogen, the ice will melt off the lights, with HID it won't melt.
Aftermarket kits won't be self leveling, that's normally parts of the housing and not the bulb.To have the bulbs self leveling you'll need sensors and connections, so with aftermarket parts this is hard and expensive.
To come back on my previous post: HID bulbs will have ballasts (that's the name of those boxes!) which could interfere with other electronics. Please be aware you'll probably need CAN-BUS kits to assure your car will "accept" the lights without coming up with errors, especially on newer cars.
I've had them in my old car, no problem at all if you set the non selfleveling lights to the lowest setting and place the ballasts in the right place.