Here's how I understand it . . Xenons are a type of HID bulb. Ellipsoid is the type of lense reflector system in the euro headlights. If you shine the headlights against a wall, you'll see two pyramid shaped light patterns as opposed to standard lights, which are just blotches. The ellipsoids concentrate the light where it's needed most.
Whether it's Depo, Hella, or ZKW, they're all ellipsoids, which usually take H1 bulbs. You can upgrade to an HID system which includes ballasts and wiring in the kit. What's the difference? Higher intensity, and higher color temperature (means the light is whiter). Standard bulbs (9006) are 3000k, H1's I believe go up to 4200k, and HID's are 6000k-8000k.
I recommend you start with euro ellipsoids with H1 bulbs. Then if you want, you can later upgrade to HID's.