In the UK, retro fit Xenons/HIDs
are highly illegal, and the DfT has advised both the Police and MoT testing stations (via VOSA) to strongly crack down on such modifications.
If you really must improve your standard halogen lighting, then try something like the Philips Vision Plus 50% - they are a noticeable improvement over the standard H7s - though they don't last as long (the standard fit bulbs are H7 LongLife bulbs).
There was a very passionate discussion on the Golf GTI forum a few months back.
GolfGTI.co.uk forum - Index - search in the Mk5 boards, under thread originator "Creepy Coupe".
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Sean - Independent Motor Vehicle Technician (retired)
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'07 Audi B7 RS4 quattro saloon 4.2 FSI V8 32v (BNS) (with ceramic brakes) - WOW
'06/7 VW A5 Golf Mk5 GTI 5dr 2.0T FSI (BWA) DSG, fully loaded, colour coded, 
'98/9 Honda CBR600FX, the blueberry trifle 
'03 Audi B6 S4 quattro saloon 4.2 V8 40v (BBK) 6sp manual, fully loaded (gone, but not forgotten)