Yes, xanthan gum bothers me and my mother too, as well as other gums...cellulose gum and others. They make me lose my appetite almost completely and not feel well at all. I once asked a nutritionalist about them, and she said that people often use them for weight loss, because they take away your appetite...only thing is they make you not feel well too. Not fun.
Other things I've heard about xanthan gum and the like is that they can irritate the stomach lining and for people with allergies to corn, xanthan gum is a problem, because it has corn.
Instead of using gums in baked goods, I use tapioca flour, or potato flour to help hold things together, and/or 1 tbsp flaxseed powder mixed in 3 tbsp hot water(let it sit for about 10 mins. before mixing it in with the wet ingredients). It seems to help bind things together, as well as getting the health benefits of flax! As far as store-bought baked goods, it's really hard to find them without gum....lots of label reading.

Although, I guess we celiacs should be used to lots of label reading.
Anyway, hope this is of some help.