Halogen Headlights

I always thought it was for looks haha, VWs and Seats have them too.

I'd like to replace them with the LED Bi-Xenon version, but they're costly.
The other thought was to buy a set of cheap halogen headlamps from ebay and fit projector lenses in myself, plenty have done it. Although it is time consuming and you have to split the headlight, it does look better and your headlight motors still work etc

I always thought it was to do with the beam pattern. Could be wrong though.
I thought the bulb had to be covered to stop it shining directly out of the headlight, as the front lenses on the Audi's don't have any way of dipping the light.
On some (usually older) cars the pattern of the light is dipped down using ridges on the front glass of the headlight, but the cars with smooth clear front lenses have the dipping pattern on the chrome reflector behind the bulb. The cap over the bulb means that all the light is sent backwards onto the patterned reflector so that it can be dipped correctly. If the cap wasn't there then the light would work like your full beam lights and would blind everyone. Hence why the full beam lights don't have this cover over the front of the bulb.

That's my understanding of it, but like I said I could be wrong.