I have done it both ways: though the wheel well and removing the bumper. Removing the bumper is far easier, once you get the hang of it. You have to remove about 18 (some on top, some under the car, 1 in each wheel well) plastic pop rivets. I ended up breaking a bunch because it was cold out, Autozone has a usable generic replacement.
Once you remove the pop-its, grab the bumper at the wheel well and start to pull it away. The top of the bumper is secured by some clips that just pop apart. Removing the headlight with the bumper of is as simple as removing a few bolts. With the headlight out, super easy to change out the bulb.
Reassemble in reverse. The first time, I had some issues getting the bumper aligned correctly and getting the plastic tabs to line up correctly. A little trial and error and I was all set.
I have removed the bumper twice since then (2 headlights burned out before I just bought an HID kit). Once you do it once, its very easy.