I sort of lost touch with the X-Files when Mulder was gone for a long time and the new agent (can't spell his name properly) took his position. I did continue watching the series in and out, but I never did she the final episodes or what happens, so I can't really say. Maybe the last episodes would have been my favorites.
From what I do know though, I liked any of the ones that had to do with the aliens, especially the cloaked ones that kept abducting that one guy that lived in a trailor and infiltrated that instilation in the woods.
Some more of my favorites are any of the ones that had Cancer Man in them as well. There was this one I really liked, but I can't remember the name of the episode. But basically he retires his position on the staff of the Syndicate, writes a story for a magazine to expose everything, finds they got to it, and is basically forced to join them again. He also gets back on the habit of smoking after trying to quit.
I remember this part especially:
" Life is like a box of chocolates. Cheap, thoughtless gifts that nobody ever asks for. Sure, once in a while you get a peanut butter cup or english taffe...but its gone too fast..the taste..is..its fleeting. In the end you end up with nothing but broken bits filled with hardened jelly and teeth shattering nuts. If you're desperate enough to eat those all you've got left..is an empty box...filled with useless brown paper wrapers.. *starts the habit back up by putting a cigarette in his mouth and conciously decides to join the Syndicate again*"- Cancer Man J.B Spencer