I love the whole Barry Duane (?) arc where Scully gets abducted and Mulder has to team-up with Krycek, the double-agent for CSM. What makes that whole arc even better was it was only conceived as a way to get around Gillian Anderson's pregnancy, but it was an accidental stroke of brilliance.
The other great episode was where Scully's dad died and she saw his ghost muttering to her. And 'Home' about the inbred family. That episode was banned for a while.
I did think X-Files had a serious drop in quality by the fifth season or so, even way before Duchovney left the show. Still okay, but those first few seasons before it got too bogged down in the weight of its own mythology (and also before irreplaceable characters like Deep throat and X were killed off) were awesome.