I just got a RX-8, and even it's a basic model, what a blast to own it. However, I do have a question. If I upgrade the stock headlight with aftermarket HID kit, will the headlamp warning light lights up and stays on? [like BMW's and MB's]
And what type of bulb should I get for the headlight?

I put a HID kit from catz on my civic
they cost about 500.00

I dont know if the dash light will stay on

not sure either
but you can try it out take out bulbs in lights or disconnect harness and see if teh green lights stays on.
and also check out proxenon.com for retofit hid kits.
they have the rx8 on their site,but not listed product #
but you have to call and ask for mike.

Why don't you ask Mazda Spareparts for an upgrade.. I am sure they have spare parts for the HID for high end models and they will have all the wire perfect for RX-8... if you want it brighter --- you can plug in a higher rating HID bulb at the same time... maybe more expensive but hey....

Going for factory not only will guarantee it works and you can uplifted price of the car and said ---- "hey I asked the dealer for a RX-8 xenon upgrade!" rather than "other brands"

only my 0.02$ but it make sense right?

The HIDs in the RX8 are not as bright as other cars are there upgrades for teh Xenon lighting, a bit brighter perhaps? I feel like when I am next to a BMW I have halogens.