Oh, cool thread. I got interested in the X-Files probably about Season 5, so I was lucky to be able to go back and watch the early stuff on DVD in the full.
My favourite episode is the comedy one: "Jose Chung's From Outer Space"
It still cracks me up, the stuff about lord kobolt from the centre of the earth and the alien in the cell who keeps repeating 'this is not happening' over and over.
I have alot of other favourite episodes, probably too many to share in detail on here heh.