Jason Brimhall has a script to shred extended events:
In the following script, I have tried to accomplish just that – a single script to create the entire XML parser for me, for you, and for anybody wishing to use it. I don’t want to have to remember the subtle nuances of how to parse each of the events each time I need to parse the session data. I want something that is quick, easy, and repeatable.
With all of that said, here is the script that I now use to parse my session data. You should notice that it has been simplified and is more extensive now.
Jason also has sample usage. Check this out for sure.