I fitted Xenon HID bulbs to the headlights, you get H7 upgrade kits. Be aware though that 1) They are Illegal 2) Its really obvious that they are illegal 3) They are expensive.
Just for the record the law is such that:
1) HID lights MUST be self-leveling.
2) HID lights MUST have an automatic / washing mechanism.
3) Dipped Range must be set to no more than 38m (Forget how this is measured, its usually set in software on the car)
4) Dim dip is not compulsary
5) Units must be E marked, and approved with the projector system
6) All units from 2001 on must be projector type assemblies, not reflector
7) Units must not exceed 6000k color temperature in the UK except for a resonable warm-up period.

Alternative arrangements for headlight flashing must be arrange as HIDs have limited strike lifetimes.
In _light_ of such restrictions, retrofitting of Xenon systems is illegal in the uk with the exception of a small number of Hella (oem) upgrade kits, which include eveything.
If you wanted to fit one two a mk5 polo, you can either chance it, or 2) get hold of GTI headlights, which you might just get away with, and they actually work far better than fitting upgrades.
alternatively, if you have shelled out for a h7 kit, you can fit them to your fog lights which are h7 and don't have as many restrictions on their use, the limits are to do with placement, usage in built-up areas, and maximum wattage of 60W, all of which are still met with xenon. I spent a long time looking into this, and decided that this is the best compramise, you can still get that cool look whenever you want, and the advantages of HID in country lanes etc are still there.
This is a guide, of course you could just fit them to your normal headlight set-up but when you do, and then stand in front of it when they are switched on, you'll see what I mean, they are far too good! Its a pitty they don't make a smaller say 20W version instead of the fixed 35W bulbs, as this would still give all the advantages but wouldn't annoy people as much.
One other note, don't get Xenon (incandescent) mixed up with Xenon HID bulbs. The difference is quite large (about 600 quid)!