If it's textured plastic molding (you can feel the texture if you run your fingers across it), the best stuff I've used is called GR40. It might take a couple applications but it does remove wax and polish from plastic molding. Check it out here: http://www.topoftheline.com/trim-cleaner.html

If it's painted molding (like flat black or semigloss black), you can try a wax and grease remover. 3M sells a very good product you can get at WalMart or most auto parts stores.

As for the headlights, as mentioned already, a plastic polish like Meguiars PlastX will do the job but it might take several applications and a lot of rubbing. It's a good product, just takes some elbow grease.