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It is important that you don't use a high speed buffing wheel on the lenses or else you'll generate heat which will cause a lot of small cracks to appear. Always use a very low speed orbital buffer.
I use Klasse All In One - works fine, removes the oxidation and blemishes - I usually do it every other month or so. For what it's worth, I tried one of those kits and the results were less than impressive. I also paid a guy to detail my car once and he sanded and cleaned the headlights- turned out nice but only lasted a few months - Klasse works just as good and works really well as part of a car detail regimen.
Here's links to previous discussions on the topic w/ several choices in products that DO work. As ancdmd said, if you aren't going to buff them out by hand (can be tedious) , be sure to use a LOW speed buffing wheel.
I have to agree with mewhee. The Novus products work really well. i dont know what part of texas you live in but in the frisco tx area, there's a Mr. Clean Car Wash that does an awesome job of headlight restoration in case you dont want to do it yourself. also, if you are doing it yourself and you're sanding it down first, make sure you wet sand it and not just sand it dry.
Sylvania Headlight Restoration Kit came out on top. The 3M Restoration kit also tested well but was a little harder to use. The Turtle Wax kit also tested OK but not as good as the top two.
Crystal View - available at Advance Auto. $20 for a kit and 15 minutes and I can make a set of headlights look like brand new - but I've had plenty of practice. It involves hand wet sanding with two different grits of sandpaper, polishing with an included abrasive sustance and cloths and applying two coats of chemical sealer that dries hard as nails. I can feel the progress through my fingertips as I remove the original coating -- feels similar to wet sanding lacquer on a car between spray coats. The downside of Crystal View is that you have to read and follow instructions -- the procedure is rather unforgiving. And it has to be used in a shaded, reasonably warm setting.