As far as powers go, Xelloss is one of the most powerful characters in the series. After the five Dark Lords, he is the strongest Mazoku, which is why the other mazoku are afraid of him. He can withstand most magic spells and even though he can get hurt more by physical attacks, he is able to heal himself very quickly. His resistence may be due to Zellas but this is not confirmed. He's much more powerful than Lina and the others (she admits to this, don't remember what episode) but he never uses his full power because he prefers to let other people do the work for him.
Xelloss also uses the talismen he has around his neck, his belt and on his wrists, to amplify his magic. That is, until Lina buys... no, DEMAMDS them and he has no choice but to give them to her. But even without the talismen, Xelloss is very powerful. During the Kouma Senso, he wiped out a clan of gold and black dragons using just ONE FINGER (hence why Filia hates him so much).
Xelloss doesn't use black, white or shamanist magic like the other characters do. Instead he uses the powers that all mazoku have and uses them to the way he most needs it, whether it may be defensive or offensive (for example how Mazenda used her power to seal away Lina's powers). Then why does he cast Blast Bomb in one of the episodes? Well, he couldn't let Lina figure out that he was a mazoku so by using the talismen and casting the spell, he was able to throw off any suspicions she might have had about him.
Now, I thought I should explain about the talismen he wears so here it is. They are really called Demon's Blood and are made from the four Dark Lords in each world, Chaotic Blue, Death Fog, Dark Star and Ruby Eye, meaning that each talisman has the power to call a small amount of each of the Dark Lords so that the sorcerer/sorceress can use in their power in spell they want to amplify. This is why Lina wanted them so much (well, apart from the fact that she would've been useless without them ^_^).
Oh, and if you're wondering where Xelloss got them from, they were a gift from Lei Magnus. He gave them to Xelloss during the Kouma Senso, because he was impressed with Xelloss's abilities. Cool, huh?