Is there any way to download and store app bought from the App Store in an external hard drive and also being able to update them? (I'm especially interested in doing this with Xcode)
You've asked two separate questions, so I'll answer them separately:
In the case of Xcode (and Lion), what you are downloading is an installer.
If you run the installer from /Applications/ then it is deleted after it finishes installing.
If you want to keep it, move it somewhere else after it finishes downloading (before it finishes downloading it won't appear in /Applications/ anyway) and before it finishes installing.
No. Apple does not (yet?) support "delta" updates, so when the next version is released, you will have to download the entire thing.
The only purpose for saving the downloads would be if you had another computer you wanted to update, or if you wanted to save it for a potential reinstallation before it is updated.
I guess one way is to create a new iTunes library in the external hard drive, and sync you iOS devices with this new library. Option-Click the iTunes icon to lunch the iTunes will give your options to create new library or choose a library location.