How are the House and Senate leadership elected?

Does this happen every year? Or does there need to be a challenge of some kind?

is elected every 2 years. The senate is elected every 6 years.

The Speaker of the House and the Senate Majority Leader. They don't come up for re-election every time, do they?

election day and January.

elected at the beginning of each Congress...unfortunately, most of the time, it is a rubber stamping as long as the leadership remains in office.

Leadership Selection
The majority party's candidate for Speaker is chosen by secret ballot by the full party membership (meeting either in the Republican Conference or Democratic Caucus), at organizing meetings usually held in November or December of each election year. Understandably, campaigns for vacant leadership positions are often long and intense affairs. Historically, once a Representative wins the Speakership, it is the lawmaker's to hold unless the Speaker's party loses majority control of the House. As the political scientist Barbara Sinclair notes, "No incumbent Speaker has been denied renomination while his party has remained in the majority. Usually, sitting Speakers face no opposition within their parties and are routinely renominated."(1)

The entire House formally votes to elect a Speaker on the first day of a new Congress. Each party places the name of its candidate in nomination and the majority party's candidate is typically elected by a straight party-line vote. Floor debate on the nomination of candidates for Speaker is not customary.

The majority leader and the majority whip are chosen by the vote of party colleagues at post-election organizational meetings. The minority leader and minority whip are similarly chosen by a vote of their party conference or caucus. The full House does not vote for final approval of these positions.

http://www.rules.house.gov/archives/96-784.htm

President Pro Tempore - appears to be every two years - the others are at the link below

http://www.senate.gov/pagelayout/history/one_item_and_teasers/officers.htm