XDoclet uses javadoc technology to go through the source, work out things about your software, and then output some code. Then your regular compiler/IDE uses that code together with your own code. Javadoc works with all versions of java.
If you are using Java 5, then it supports Annotations. The whole process is built into the compiler - there's no need to use a separate javadoc-like pre-processor.
Annotations are current technology (not obsolete like XDoclet), and so will be maintained and developed more. They are used for a variety of technologies (e.g. JUnit), not just Hibernate or even ORM more widely. They provide more detailed control over the ultimate behaviour of the code, too. If you're starting from scratch, there's no competition - use Annotations.
The "I want to learn Hibernate Annotations" tutorial is half way down the page at
http://www.hibernate.org/152.html
Keep an eye on the Reference guide at
http://www.hibernate.org/hib_docs/annotations/reference/en/html_single/ and the Annotations FAQ at
http://www.hibernate.org/329.html
John.