EFX isnt a type of hid, it is a brand. The brand is pretty expensive too. I have seen their kits for $150-$200.
Xenon is not a brand. there is no difference between the two. The quality may be better for EFX, but many people haven't had any problems buying any of the kits off vvme or ebay. You usually get what you pay for, but when it comes to hids, they are getting so cheap, and all made the same, that it doesnt really matter where you get em..as long as they arent made in some guys basement