std::pair of references

In C++11 you can use std::pair<std::reference_wrapper<T>, std::reference_wrapper<U>> and the objects of that type will behave exactly as you want.

No, you cannot do this reliably in C++03, because the constructor of pair takes references to T, and creating a reference to a reference is not legal in C++03.

Notice that I said "reliably". Some common compilers still in use (for GCC, I tested GCC4.1, @Charles reported GCC4.4.4) do not allow forming a reference to a reference, but more recently do allow it as they implement reference collapsing (T& is T if T is a reference type). If your code uses such things, you cannot rely on it to work on other compilers until you try it and see.

It sounds like you want to use boost::tuple<>

int a, b;

// on the fly
boost::tie(a, b) = std::make_pair(1, 2);

// as variable
boost::tuple<int&, int&> t = boost::tie(a, b);
t.get<0>() = 1;
t.get<1>() = 2;

I think it would be legal to have a std::pair housing references. std::map uses std::pair with a const type, after all, which can't be assigned to either.

I'd like to have a pair<T&, U&> and be able to assign to it another pair

Assignment won't work, since you cannot reset references. You can, however, copy-initialize such objects.