How do I remove the oxidation from my headlights anyone have any good ideas?

Flitz!

Wet sand the lenses with 1000 grit wet/dry sandpaper, then 2000 grit wet/dry , then polish with Mcguire's PLASTX until clear.

Rubbing compound works ok too, kinda depends on how bad it is though.

I had the same problem on my 2001 GC I tried polish and many so called plastic cleaners which helped some but not enough. So I checked ebay motors and found many many brand new headlight sets for about $100 dollars including shipping. I picked up a set and they look great and are of great quality no cheap overseas garbage. The seller I bought from was "directauto" They give there light sets a 1 yr. warranty plus they are SAE and DOT approved. They are made by Depo automotive lights and they even include the wiring and light bulbs if you need them. I recommend if you have the cash to go that route than waste time trying to restore your old ones.

I had the same problem on my 2001 GC I tried polish and many so called plastic cleaners which helped some but not enough. So I checked ebay motors and found many many brand new headlight sets for about $100 dollars including shipping. I picked up a set and they look great and are of great quality no cheap overseas garbage. The seller I bought from was "directauto" They give there light sets a 1 yr. warranty plus they are SAE and DOT approved. They are made by Depo automotive lights and they even include the wiring and light bulbs if you need them. I recommend if you have the cash to go that route than waste time trying to restore your old ones.
I used to think it was a waste of time too...until I saw the results.
You need to wet sand the lenses with wet/dry sandpaper before using the polish.
A large number of automobile owners have used the polishing method successfully, its not only cheaper but can be done in about the same time it takes to R & R the headlights.
How many miles on your 2001? My '01 has 70k miles and the lenses are scratched but not enough to affect light output or even noticeable unless you view them up close at night.

Here is the method used on an older (1993) Jeep.
Passenger side is yellowed, drivers side is clear:

http://img78.photobucket.com/albums/v296/FinlayZJ/front.jpg




Before:
http://img78.photobucket.com/albums/v296/FinlayZJ/cloudy.jpg

After:
http://img78.photobucket.com/albums/v296/FinlayZJ/done.jpg

Wow Bob, that stuff does work pretty good.

I bought a new set of headlights from ebay as well cost about $90 bucks with shipping. The new ones are still clearer then yours but heck I wish I would have seen this before I replaced mine. I was going to get some FLITZ but some other had used it with no luck. When I put them on they looked like glass I had to replace the Sidemarkers and parks lamp lights as well, because it looked funny with the headlights being new, I got cleared corner lights, they look way better the the stock amber colored corners.