I came across a list of packages that are required to compile the latest version of Xen; simply run this command:
apt-get install build-essential zlib1g-dev gawk gettext python-dev libssl-dev libx11-dev mercurial git-core curl ncurses-dev bcc iasl libpci-dev ocaml
Thanks to George Dunlap for this information.
From Pasi – also check out http://wiki.xen.org/xenwiki/Xen4.0 for more Debian information