I think I pretty much put all my stuff in .xemacs-options, and xemacs puts all it's autogenerated stuff in custom.el. Then I did experimentation in some other files, which may or may not work, and are probably hideously undocumented. The most interesting file is .xemacs-options, because that is all my stuff, and actually has some useful lisp code in it.
I managed to get some interesting syntax highlighting in highlighting.el - colourising numbers in most language syntaxes, colourising important comments, such as FIXME:s etc.
.xemacs-options
custom.el
highlighting.el
keysettings.el
funckeybindings.el
init.el
savefiles.el