My favorite is the baseball one about Josh Exeley, the alien that ran away to play baseball. Exeley was modeled after my favoritre baseball player, Josh Gibson, who played for the Hempstead Grays (Negro Leagues), the team that Exeley's Roswell Grays got the name from. At the very end of the episode, Mulder's wearing a Hempstead Grays jersey with Gibson's name and number, 20, on the back. You can get that jersey for about $120.
I also liked the Bermuda Triangle one were Mulder gets trapped in a parallel time/reality circa WWII, and Scully and the Lone Gunman guys have to go find him. The wya that episode was shot, with the camera following the characters around and cut to make the scenes seen seamless, was pretty cool - they got the idea from Hitchcock.
And I like the silly episodes, like the "Roswell! Roswell!" one with the writer and the aliens abducting airforce guys posing as aliens, the trailer park vampire one with Luke Owen, and the one with mutant who loves Cher that's in b/w.
Sorry, I don't remember names of the episodes.