xenon is a gas, when regular H4 bulbs are filled with xenon gas it allows them to use a filament that burns hotter, producing a brighter, usually cooler(whiter) light. the downside is they pull more amps and the stock wiring usually cannot handle the extra load, usually causing burned sockets, or worse, melted wiring. the blue xenon bulbs are usually just a painted bulb, or a silicone jacket over the surface of the glass.
HID stands for High Intensity Discharge. HID lamps are also filled with xenon gas. they are usually around the same brightness as a 100w halogen off road light, and depending on the color temperature they range anywhere from a deep amber/yellow to a dark purple. there are plenty of color temperature charts online, that can help you decide which temp to go with depending on what color you want to produce. Most people agree that the greatest light output is around 4300°k -5000°k, if you are looking for a bluish tint that starts around 6000°k and gets deeper blue the higher the temperature goes, until it hits purple. they also use very little power once they are warmed up, which is why alot of people prefer them. they offer more light without overloading the wiring.
Be warned that it is quite possibly illegal to add HID headlights to a vehicle that did not come originally equipped with them. I would check the laws before shelling out the dough, or get a faster bike and dont stop
like i said, i'm not a bike guy... but this is just a little info about HIDs. hope it helps.
this is usually what you end up with when you buy "Xenon" bulbs:
and this is a typical HID bulb: