Are you refering to the covers or the lights themselves?
If it's the covers and they're plastic, sounds like they're oxidized and you'll probably have to replace them because plastic can't be rubbed out.
If it's the glass headlights, you can try cleaning them with a light duty scratch remover.
A trip to autozone may be in order. Maybe there's something new on the market.
2004 E60 530is, Delivered 12/12/03, TiSilver/LGrey, PP, SP,PS, PDC, ACC, FRS, Step, Xenons, clear bra, body colored rear inserts. (Retired, 1983 henna red 320is)
2004 Corvette Z06 Commemorative Edition