(No spoilers here - I just watched the whole nine seasons back to back, and I'm not about to give anything away.)
All I can say is, thank god for DVDs. I remember watching a handful of X-Files episodes in the 90's when the show first came out, and while I thought they were great I had the triple problems of (a) forgetting to watch it, (b) a wife who doesn't like violent, bloodthirsty, nightmare-inducing TV programs and (c) young children who shouldn't be exposed to violent, bloodthirsty, nightmare-inducing TV programs.
Fast forward ten years. My wife still doesn't like V/B/N-I TV, the kids are still too young to watch it, but I have a laptop with a DVD player. Problem solved.
In November 2005 I picked up a boxed set of the first season of the X-Files from eBay. I don't know why it took me so long, since I'd been collecting DVDs for at least 2 years prior to that. Perhaps I was afraid the series would turn out to be cheesy and nowhere near as good as I remembered it. Perhaps it was the fact there were nine years of episodes to collect, and having watched the first I'd be forced to buy & watch another, and another, and another.
The good news is that the series is better than I remembered it. More than that, it's creepy and believable, with the occasional hilarious episode to break up the doom and gloom, and the characters of Fox Mulder (David Duchovny) and Dana Scully (Gillian Anderson) crackle with tension. Both are loners in their own way: Scully the scientist who demands proof, and Mulder the one willing to believe just about anything. The series plays on these differences to great effect.
I managed to time things so that each boxed set arrived before I watched the end of the previous season, each of which ends on a massive cliff-hanger. Until series six I was going along fine, enjoying the ride. Then the sixth season started with the characters discussing events I had no recollection of. Viruses, Antartica... I checked the DVD, but it was certainly episode 1. Off to the internet, where I discovered the X-Files movie was made to slot in between the end of series 5 and the start of series 6. I managed to get a copy off eBay, but had to sit around twiddling my thumbs for over a week waiting for it to arrive. It was well worth it, though.
There are hundreds of sites on the net dedicated to Mulder, Scully and the X-Files. I'm not about to start another, but I did want to say that of all the hundreds of DVDs in my collection, the X-Files series left the most lasting impression on me. The point of this article is to encourage others to go out and buy the boxed set of season one. Just make sure you have enough space on the shelf for the other eight seasons.