I haven't experimented with xanthan gum and I don't think it was included in any of the allergy tests I had. However, I see on the Wisegeek website that a lot of folks are volunteering their stories of allergy or sensitivity to xanthan gum.
It is used as a thickener in a lot of foods including many gluten-free foods, ice creams, and even some herbal extracts. I'm going to go back and read some labels of foods that I've suspected of causing me indigestion and see if it's listed as an ingredient. If it is, keeping track of whether I react to those foods should let me know if this is a missing piece to the puzzle of "why hasn't my digestion gotten better even though I'm eating healthier."
Actually, keeping a food diary with notes on symptoms is a valuable tool to diagnosing food sensitivities, but doing it for more than a few days is difficult. I've tried it and it just takes too much time. Plus who wants to obsess over every bite and every little ingredient?