Anisotropic pair correlations in ferrofluids exposed to magnetic fields are studied using a combination of statistical-mechanical theory and computer simulations. A simple dipolar hard-sphere model of the magnetic colloidal particles is studied in detail. A virial-expansion theory is constructed for the pair distribution function (PDF) which depends not only on the length of the pair separation vector, but also on its orientation with respect to the field. A detailed comparison is made between the theoretical predictions and accurate simulation data, and it is found that the theory works well for realistic values of the dipolar coupling constant (λ = 1), volume fraction (φ ≤ 0.1), and magnetic field strength. The structure factor is computed for wavevectors either parallel or perpendicular to the field. The comparison between theory and simulation is generally very good with realistic ferrofluid parameters. For both the PDF and the structure factor, there are some deviations between theory and simulation at uncommonly high dipolar coupling constants, and with very strong magnetic fields. In particular, the theory is less successful at predicting the behavior of the structure factors at very low wavevectors, and perpendicular Gaussian density fluctuations arising from strongly correlated pairs of magnetic particles. Overall, though, the theory provides reliable predictions for the nature and degree of pair correlations in ferrofluids in magnetic fields, and hence should be of use in the design of functional magnetic materials.