You are looking at the HTML representation of the XML format.
HTML is good for debugging, but is unsuitable for application use.
Specify the format parameter to change the output format.
To see the non HTML representation of the XML format, set format=xml.
See the complete documentation, or API help for more information. 
<?xml version="1.0"?>
<api>
  <query-continue>
    <alllinks galcontinue="Baker&#039;s_wife" />
  </query-continue>
  <query>
    <pages>
      <page ns="0" title="BF Prison" missing="" />
      <page ns="0" title="Baaz Draconian" missing="" />
      <page ns="0" title="Baby slime (undead)" missing="" />
      <page pageid="2421" ns="0" title="Baal-Naygash" />
      <page pageid="1575" ns="0" title="Baal-Naygash (undead)" />
      <page pageid="11681" ns="0" title="Baboon" />
      <page pageid="10946" ns="0" title="Baby Lag Monster, gumming up the works" />
      <page pageid="4140" ns="0" title="Background" />
      <page pageid="5996" ns="0" title="Backstab" />
      <page pageid="10710" ns="0" title="Bahk, the retired cyclops war hero runs the bar" />
    </pages>
  </query>
</api>