I'm trying to send a direct message to someone I'm following. Do they also need to be following me to get the message?

How about @ replies? If I am following someone and they are not following me, can you @reply them? Where would that comment go?

This is really cool but even being pretty tech savvy it seems a little more complicated than I expected, and I'm surprised my question and the OP's question aren't in the FAQs. Am I weird for asking this? lol...

Anyone? :(

Yes, @replies from someone that you're not following would be visible under the replies tab http://twitter.com/replies

Thanks mh, so then, they would not get an SMS bugging them, but could log in to the site and see my reply in that tab then. Right? Cool.

You can also use Twellow:

http://search.twitter.com and type the identity of the person you want to send your message to. You have the chance to talk with them directly this way.