Upgraded headlights the legal (ish) way...
1) Get a new headlight harness.
You can make your own http://www.go.jeep-xj.info/HowtoHeadlightLoom.htm
Or you can buy one: http://www.eautoworks.com/Putco-H4--...s-PRD7540.aspx
The eautoworks harnesses used to be quite cheap until everyone on this forum started recommending them and the price was raised accordingly.
You can pick them up for $29.99 here http://www.lmctruck.com/icatalog/csd/full.aspx?Page=48
part number 36-3580. It says it fits a chevy blazer but it's the same as the eautoworks harness and I'm running the LMC harness in my XJ.
There are other more expensive options for pre-made harnesses but I'm not super familiar with those.
2) Upgrade to H4 housings
There are two types of regulations pertaining to headlight housings. There are DOT approved housings which are legal in the US and there are Ecode lights which are European housings and aren't legal in the US although many people use them as they are considered superior housings due to the light pattern.
Autopals (look on ebay for Autopal 200mm H4 housing)
Personally I won't buy housings that have plastic lenses, I much prefer glass but your mileage may vary.
3) Get good bulbs
Some of the above housings come with bulbs included with them. I tend not to recommend bulbs as the choices are extremely vast and everyone has their own preferences as to color and wattage.
4) Aim your headlights properly!
I can't say enough how much improperly aimed headlights annoy me on the road plus you are wasting all that time and effort to upgrade the lighting if you don't aim the light where it does the most good... http://www.naxja.org/forum/showthread.php?t=78017
5) On HID Lights
I do not recommend HID's for use in XJ's... People will show links to cheap HID kits and "Projectors" off of ebay and other sites which will give you a lot of light and will also throw a lot of light in all directions making you very visible to police and possibly blinding other drivers.
When using HID's you need a true projector housing. I'm sure people will chime in and say they run HID's and ebay housings and have had no problems but I'm describing the legal (ish) way.
If you want to go down the road of HID's, take a look at what true projector housings cost http://www.kbcarstuff.com/6054-200mm...-p/xd-6054.htm
and consider the cost vs benefit...
There are a myriad of options available to consumers with the limiting factor being cost. One can spend under $100 and have significantly upgraded their lighting or they can spend $1000 and upgrade their lighting more. It's all in how much money you want to spend.
Disclaimer: Always check your local and state laws as some places have more stringent lighting laws than others... I am in no way associated with any of the above companies and none of what I say should be taken as the absolute truth or only way to do things. Flame on...