I had the same problem with my headlights and purchased Meguiar's Headlight Restoration Kit from O'Reilly for $22. It comes with a bottle of PlastX and a buffing pad that attaches to a standard drill. Taped off my headlights and went to work with the buffing pad. The results are very impressive. My lenses look brand new now. You may have to do a couple applications if they're really hazed up like mine were.
Additionally, I had taken out my instrument cluster to remove some Armor All that had been sprayed onto it and had bonded to the plexiglas. I tried removing it with Plexus cleaner and a cloth but had no luck and was ready to order a new cluster lens from ebay. I had also scratched the cluster lens severely with a brillo pad in a desperate attempt to remove the Armor All when all else failed--still no luck. Then I decided to use the PlastX and buffing pad on it. Presto, my cluster lens looks brand spanking new now.
This product is a little more expensive than the others that have been mentioned, but it absolutely works. No questions.