savehist complains:

Debugger entered--Lisp error: (error "No such coding system" iso-2022-8)
  coding-system-property(iso-2022-8 pre-write-conversion)
  write-region(1 9592 "~/.emacs-history" nil quiet)

So I have to turn it off to be able to exit XEmacs.

I have this same problem.  I've changed savehist-coding-system to 'raw-text, which seems to work ok, but will probably bite me if I ever switch to using a mule-enabled emacs.