Xenon is found in the Martian atmosphere at about 0.1 ppmv (parts per million by volume), so it is a very rare gas.
Xenon is quite expensive, at about $20 per liter (6g) or 3 300$ per kg. There are about 45 billions tons of Xenon in Earth's atmosphere. Due to cost and availability concerns, argon or krypton may be a more practical choice than Xenon.
Xenon 135 is the most powerful neutron poison ever discovered. This is important in nuclear reactors. It is also a fairly common fission product. Managing the build up of Xe135, (or removing it which is simple with molten salt reactors), is a key parameter in managing a fission reactor.
Surprisingly Xe is an anesthetic. (It is almost the same size as the nitrous oxide molecule and binds the same pain receptors.) Given that xenon can be pulled from Martian air by the same equipment used to capture nitrogen, it is likely that xenon will be used as a anaesthetic by Martian colonists if large amounts of the atmosphere are liquified.