Has anyone done this? What did it require?

See here in Canada our SHO's apparently go faster than light so FORD saw no need to put HID's in them since we never would be using them anyways.

I'm trying to avoid going with the cheap HID/ballast kit things. I am also considering going to a LED headlight conversion but want to know my options.

It sure does suck not having the HID's. What I did was bought the HID/Ballast ($150.00) and installed them myself. There easy enough to do just really time consuming for a "bulb change" I had to remove my front bumper to access the back of the lights comfortably and install them. I made a "How-To" http://www.ecoboostperformanceforum.com/index.php/topic,2913.0.html for removing headlights and painting them, farther down in the comments I have pictures of the ballast and wires for the HID's. Just an option! Good Luck.

Yea, I've used the ballast ones before. Just not a fan of them if there is a more stock like option.

Don't blame you, HID kits suck.  They always failed after a year or two on my cars ('02 Passat and '12 Sonata). 

Must be a regulation thing?  Doesn't make any sense why Canada gets halogens.

Is it not plug'n'play with OEM headlights?  Probably could get a set for $1000 or less.

You could always do this

http://www.ecoboostperformanceforum.com/index.php?topic=2221

In theory you do buy a set of US headlight assemblies and try the conversion. Just a heads up, you will not get the same output as a retro. And the cost would be huge. Like over 2k huge I would think.