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If a bleeder isn't rusted bad, then here's how to remove it:
Find a small punch- smaller than the diameter of the threads, so that you don't risk damaging them. Put the punch up against the broken off bleeder, and wack it with a hammer. This will loosen it- and works particularly well for bleeders as they're 'bottomed'. Now use a small easy-out. Don't drive it in hard- you don't want to expand the bleeder. And don't break it off... if you do, then all hope is lost.
If that doesn't work, then you could try drilling it... but the odds of getting the thing out without collateral damage are greatly decreased.
And, yes- calipers should be replaced in pairs. The 'new' (or reman) one will move more freely, and probably grip a bit better. This may or may not cause a pull- in my experience, though, it'll make the brake with the new component get smoking hot, as it'll be doing most of the braking.