Just watched "Conduit" (The one about the missing daughter and the kid who takes static and writes binary code from it) and that was probably my favorite episode so far. We get to see a little about why Mulder is obsessed with this stuff, and one thing I've noticed is each episode seems to grow from the last. The first episode you had Scully pretty much calling out Mulders conspiracy theorys, the second episode we meet an insider guy, and the third episode is the rest of the FBI's reaction to the X-Files division. This episode we even meet the boss who is questioning Mulder's personal feelings versus professional judgement.
But the thing I love so far is the mystery. It's not too horrific, and there really is no violence so far, but just the mystery of everything and going along for the ride is really interesting so far.