For the headlights I have read about a hundred different opinions on which ones are the brightest, Have you had your xb for long? If not you will soon notice that the stock headlights are really really bright and other drivers will flash thier brights at you because they think you have your brights on. I would stick with the stock ones unless you just want them to be a blueish color.
As for the side marker lights, if you are talking about the ones in the fender I believe that the bulb is a part of the fixture and can not be replaced or changed you will have to find a new assembly to replace it with. It would be cool and I don't think that too many people have done it but it might not be possible.
Finally, for the dome light you can just change the bulb. I have tried the bulbs that are collored and the color sometimes burns off they make rubber covers that go over the existing bulb and they work better. I was at pep boys today and they have led bulbs that seemed pretty cool that fit in the original bulb socket. They even had some that rotate between 7 different colors if your into that kind of thing.