Oooooh, xenon magic! "Well, actually..." there's nothing magic about xenon. It's a halogen gas, plain and simple.
Incandescent bulbs are very simple devices. You run a fairly high current through a tungsten wire, and it heats up. Heat it up enough and it literally glows, to the point that you can light up a room. But there are problems with the concept. First, if you do it in air, even tungsten will oxidize and literally evaporate in just a few seconds (ask me how I know). So let's put a glass bulb around it, and evacuate the air. That works, but an evacuated bulb tends to implode, so let's fill the bulb with a neutral gas...there are many choices of neutral gases, and they're all good. That's your standard incandescent light bulb, and it's served us well for 100 years or more.
But the tungsten filament still decomposes, the extreme temperature causes tungsten to cast off ions, which deposit wherever, and that erodes the filament. That's why your standard incandescent light bulb has a dark spot on it when it burns out. That's the tungsten ions, cast off the filament, which have accumulated on the inside of the glass bulb. The hotter you run the filament, the faster it casts off ions, and the sooner it will burn out.
Cool trick: fill the bulb with a halogen gas, instead of a neutral gas. Due to an obscure chemical reaction, that causes the cast-off tungsten ions to preferentially plate back on the filament, rather than on the inside of the glass bulb. So, as the filament gets rid of ions, those ions are strongly encouraged back onto the filament. They don't go back in exactly the same place, so eventually you'll develop thin and thick spots, and the filament will fail, but it takes MUCH longer than without the halogen gas. We call these "halogen" bulbs. But instead of just making much longer-lasting bulbs, they design them to run much hotter, which gives them roughly the same lifetime as a regular incandescent bulb, but give a far better, whiter, brighter light. It's a good thing.
Back to xenon....google it, it's just a halogen gas, and it's the one everybody uses in their "halogen" bulbs. So there's no magic, in fact nothing special. This is just a regular halogen bulb which has been designed to throw out more light than most, with the standard tradeoff of much shorter life.
Some of the manufacturers go a step further, and as clay.leihy says, they dye their bulbs a light blue color. This is supposed to simulate a true HID lightbulb (which is a very different, much brighter and much more expensive animal). It's silly, really, as clay points out...design your bulb to run bright, but very short, and then dye the glass bulb blue to make it fool people into thinking it's a HID.
Look, buy whatever bulb you want, just understand what you're buying. These days, either it's a halogen bulb, it's a true HID (rare, expensive and getting rarer), or it's LEDs. I'd argue for my choice, LED, but I think the industry is making the argument for me. LED bulbs are the future just as EVs are the future.