The advantage to a Xeon is ECC memory, and that's about it. It does make for a much more stable system, but for most users it's not really worth the expense.
The Xeon E5 does have an additional advantage of using registered memory with the right motherboard, which allows for much more installed memory, but that is getting really expensive. We're talking $1000 for the motherboard, $2000-3000 for the processor, and triple the cost on memory, at least.
If you can afford it, the Xeon is a good chip, but the needs outweigh the cost for most.
I'd advise getting a Socket 2011 processor or board, if you need the I/O, and an IB-E or SB-E chip (SB-E overclocks easier) if you want the high end, or if you're just using one or two video cards, get a Haswell Core i7 or i5. Xeon E3 v3 (Haswell based Xeon) could be a good alternative to the lower end of the spectrum, if you want the ECC memory.