The number of blockchain interoperability protocols for transferring data and assets between blockchains has grown significantly. However, no open dataset of cross-chain transactions exists to study interoperability protocols in operation. There is also no tool to generate such datasets and make them available to the community. This paper proposes XChainDataGen, a tool to extract cross-chain data from blockchains and generate datasets of cross-chain transactions (cctxs). Using XChainDataGen, we extracted over 35 GB of data from five cross-chain protocols deployed on 11 blockchains in the last seven months of 2024, identifying 11,285,753 cctxs that moved over 28 billion USD in cross-chain token transfers. Using the data collected, we compare protocols and provide insights into their security, cost, and performance trade-offs. As examples, we highlight differences between protocols that require full finality on the source blockchain and those that only demand soft finality (\textit{security}). We compare user costs, fee models, and the impact of variables such as the Ethereum gas price on protocol fees (\textit{cost}). Finally, we produce the first analysis of the implications of EIP-7683 for cross-chain intents, which are increasingly popular and greatly improve the speed with which cctxs are processed (\textit{performance}), thereby enhancing the user experience. The availability of XChainDataGen and this dataset allows various analyses, including trends in cross-chain activity, security assessments of interoperability protocols, and financial research on decentralized finance (DeFi) protocols.