Not all the time. Usually there is a paint tie in such as trim or a complimentary color tone to each room. It you are a bold personality, you could use the opposite colors on the color wheel!

I love the same color feel in both rooms. It really depends on the visibility of each room to each other.

Shoot me a picture and let's see what we are working with!

Agreed, these spaces should relate to each other, not necessary matching.

You wouldn't want to feel as if you were sleeping in the bathroom, so having some difference between the two is helpful. The bathroom could be a lighter or darker variation of the bedroom color, or the bedroom color could move to the ceiling or the towels or the tile in the bathroom. Think of a kaleidoscope. When you twist the tube, most of the colors continue, but the balance of them changes. The main color becomes an accent color in the next image. You can use that technique in your home as well.

What about the master bath cabinetry? Should it match the bedroom set's wood?