From an owner's perspective there is a substantial difference in the performance of the two insulating materials. THHN and THWN are constructed of PVC insulation with a sacrificial nylon outer jacket, XHHW has XLPE insulation (cross-linked polyethylene.) PVC is the cheapest insulating material available. It performs suitably in dry conditions, but moisture and water exposure can ruin it fairly quickly compared to XLPE, CPE, EPR, and other insulating materials.
XLPE is a superior conductor insulation by far. XLPE has a higher dielectric strength per mil of thickness. XLPE lasts much longer in the presence of moisture, at least at low voltages with electric field strengths too low to cause water treeing. XLPE is a tougher, more durable material that is not as susceptible to tears and rips during installation. As an owner we require everything to be meggered after pulling, but unless a conduit is flooded with water before meggering the megger will not detect these tears in the insulation. The dielectric constant of XLPE is less than half of the dielectric constant of PVC, which means the capacitance of XLPE insulated cables is much lower. The cable capacitance has a large impact on smaller VFDs because the charging current of the cable can be higher than the motor current, and the VFD has to source the charging current and the motor current. If the drive isn't sized for both nuisance overcurrent trips will result.
The choice of the best insulation depends on the type of facility. For indoor locations not subject to abnormal moisture or condensation THHN/THWN is appropriate. For locations where longevity is not important because the electrical infrastructure is frequently modified or replaced THHN/THWN is appropriate. For wet locations where the conductors will see 15 years or more of service XHHW is probably worth the money. In my case in an outdoor process plant where most of our plant is 40-60 years old and still operating with minimal modifications since it was installed XHHW is certainly most economical over the life cycle of the cable.