In Britain, it's more complicated because different types of judge are addressed in different ways, but in most cases it's the same.
In court, an American judge is called "Your Honor", while a British judge is called "My Lord" or "My Lady".
And this brings me to a story I once heard about a British court case, where the prosecution counsel was putting his case:
Counsel: "...and in fact, the accused was as drunk as a judge."
Judge: "Mr Smith, I do not appreciate your making jokes of this nature. You know perfectly well that the correct idiom is 'as drunk as a lord'."
Counsel: "Yes, my Lord."