No, they do not have to be the same, just make sure the finish and feel are the same.

As refind said, no they don't all have to be the same when you keep them in the same finish and style. However, I prefer them to be the same. Hanging and wall lights should be from the same suite. To get that kind of variety usually means going to a lighting store versus a big box store. And when in doubt, go for the larger size. Small lights lose scale and can look skimpy.