There are halogen (H4 in this case) bulbs that are filled with Xenon instead of Argon or Krypton. They are called "Xenon" because of the gas used, but are far from true HID Xenon lights.
The true HID Xenon lights are more of a metal halide bulb filled with Xenon (amongst other things) and require a ballast to run them. These are the expensive ones to buy/replace.
I have used both in various builds and the light from the true HID Xenon kits is extremely brighter and has that true "xenon color" that you can see coming down the road (color also depends on heat range, but that's another story). This look is achieved on the Halogen version by tinting the lens blue, as you can see in the eBay photo.
That said, the true HID Xenon kits we use run about $500 for parts alone and I honestly can't justify the cost vs. the result. For me, just too much money for headlights.