I'm very fond of "The Amazing Maleeni", in which a stage magician loses his head after turning it 360°. It's almost a self-parody, and has an intriguing twist at the end.
A similarly clever episode is "Field Trip", in which Mulder and Scully fall afoul of a new breed of hallucinogenic mushrooms.
Also "The End" and "The Beginning", the first two episodes featuring the telepathic, part-alien boy Gibson Praise.
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"If you're using half your concentration to look normal, then you're only half paying attention to whatever else you're doing." - Magneto in "X-Men: First Class"