Presumably xenon would act similarly to nitrous oxide, just more potent. So, for shorter experiences oxygen is not strictly necessary. Unless you are attempting suicide, continuously breathing any anesthetic gas without additional oxygen (or periods of inhaling room air to compensate) is a requirement.
If I do want to obtain oxygen is it possible to get decently safe from contaminants grade without a ton of money and prescription ?
I've breathed technical grade oxygen before and mixed it with nitrous also. Seemed to work just fine.
For things like oxygen, air, N2 etc (cheap gases) the cost generally comes from the rental/purchase of the cylinder containing the gas, rather than the gas itself. Xenon is an exception obviously.
What is a regulator and do I need to get one?
Compressed gas cylinders can contain very high pressures, and ordinarily have just a simple faucet-type valve on top to allow gas to flow out. That alone makes it hard if you want to administer only a certain amount of gas at once - it's like a faucet that has two settings, "no flow" and "industrial pressure washer/firehose", and only a quarter-turn between the two states. (Also the pressure will decrease as the tank empties, so adjustments are often neccesary). To solve this issue there are devices known as "regulators", that are usually equipped with gauges (total tank pressure, current delivery pressure) and allow a much more fine-grained means to adjust the pressure and flow. These allow you to dispense gas as rapidly or as slowly as neccesary, and also give you an idea on remaining gas supply.
To further complicate things not all compressed gas tanks are identical. Regulators are not one-size-fits-all; a regulator for hydrogen tanks will have a different connection than an air/O2 regulator to prevent possible damage to the internals from incompatibilities between the material and the gas.
Also, please do your due diligence and familiarize yourself with safe operating practices around gas cylinders. Handled correctly, they are very useful, but they can pose several major hazards.
Here's a short review. In the worst possible scenario, a cylinder could tip over, shear the valve off the top, and suddenly become a missile. A T-size tank of hydrogen contains 2400 psi and weighs 66 kilos when full, that can easily go flying through a brick wall or two. And the risk of leaks is also worth noting: a tank of nitrogen emptied quickly into a room could very well displace enough oxygen to make the room into a death trap.