Phil Factor gives us a great walkthrough of Extended Events:
A lot of the information about the way that SQL Server is working that can only be provided by Extended Events (XEvents). It is such a versatile system that it can provide a lot more than would otherwise require SQL Trace. If done well, Extended Events are so economical to use that it takes very little CPU. For many tasks, it requires less effort on the part of the user than SQL Trace.
Extended Events (XEvents) aren’t particularly easy to use, and nothing that involves having to use XML is likely to be intuitive: In fact, many DBAs compare XML unfavourably in terms of its friendliness with a cornered rat. SSMS’s user-interface for Extended Events, thankfully, removes a lot of the bite. For the beginner to XEvents with a background in SQL, it is probably best to collect a few useful ‘recipes’ and grow from that point. Templates and snippets are invaluable.
Phil’s workbenches (especially those written with Robyn Page) are fantastic ways of digging into a topic of interest.