My favorite episodes were those that were filmed in the forests in British Columbia, Canada. And, that says a lot considering that many of the series and movie locations included Utah sites and references. Some say that creator Chris Carter sprinkled Utah references (not least was Scully's transfer to the Salt Lake City FBI office in Fight the Future) in his work because bees and beehives are his symbols of alien colonization of Earth. Honeybees and beehives are also symbols of Utah and are featured on its flag. Utah has long had its own UFO culture (dwarfed, of course by Area 51 just across its border with Nevada). Utah's largest employer is the U.S. military (bio weapons, F-16s, logistics, translation services). Even the Cigarette Smoking Man retired to the Four Corners area before he was "terminated."
The X-Files ranks so high on my interests list, that I created the neologism "UFOs" for it shortly after its series premier. What was I watching? UFOs! What are these DVDs? UFOs! You can't get higher praise than an Aspie's neologism.