Xenon is expensive, but is useful for small-scale experiments involving spectroscopy because of its transparency in the infrared, for example. Although often pursued in practice for environmental reasons, the more fundamental interest in supercritical fluids arises because they can have properties intermediate between those of typical gases and liquids. Compared with liquids, densities and viscosities are less and diffusivities greater. The conditions may be optimum for a particular process or experiment. Furthermore, properties are controllable by both pressure and temperature and the extra degree of freedom, compared with a liquid, can mean that more than one property can be optimized.
Any advantage has to be weighed against the cost and inconvenience of the higher pressures needed.
Consequently, supercritical fluids are exploited in particular areas.