I replaced my head lights (9007) and fog lights (H3) with xenon bulbs the other month. The head lights were not that bad, it was just a pain in the ass to not touch the bulb when getting it in.
The fog lights were a little trickier, you have to disconnect the wires and then unscrew the stupid little screw on the side. I had to use a 1/4" mini socket with a #2 bit in it to get it out.
You have to do all this from the back side (underneath), then remove the plactic housing unit from the front.