The problem with serialized TV is that sooner or later you realize that it's all about making you think that there's something cool that's going to happen in the next episode. Nothing cool ever actually happens, but you don't realize this except in retrospect, and, occasionally, when there has been so much hype that the lack of a payoff is impossible to ignore (c.f. Lost, The Sopranos, Game of Thrones...)

The only exception I can think of is Breaking Bad.

The first seasons are rough. It gets way better (and then eventually gets way worse).

I bought the X-Files mythology collection (main storyline episodes only). The monster of the week episodes are quite average, but if you watch the mythology episodes in order it's a pretty good show IMO, especially if you're into the aliens and government conspiracy theme.

In my opinion you can just limit yourself to all the episodes written by Darin Morgan if only because Alex Trebek.

The earliest episodes are hit-and-miss; the writers got it figured out around halfway through the first season, and most of s2-s3 is good.

I think The X-Files also really only worked because of it's context and time in history -- there was a right-wing fringe that was terrifyingly paranoid of a Democrat in office after more than a decade of Reagan & Bush (the first movie aped some of that imagery, in a somewhat tone-deaf manner), and the idea of conspiracy hadn't yet morphed from Soviets and aliens into birthers and truthers.