Nothing is What it Seems
There are three types of X-Files. On the one hand, we have the government conspiracy, aliens, cloning, abductions, and colonization theme, which is central to the show. On the other hand, we have the paranormal phenomena, vampires, mutants, and so on, in episodes from Squeeze and The Jersey Devil to Detour and Chinga. This second category can also be called MOTW, for obvious reasons.
On the third hand (hey, it's the X-Files), we have the little jewels: Humbug, Clyde Bruckman's Final Repose, War of the Coprophages, Jose Chung's "From Outer Space", Small Potatoes, Post-Modern Prometheus, and Bad Blood. These few episodes are often self-parodies, and always very funny, clever, and enjoyable, which serves as a refreshing change of pace to an otherwise serious, complex and frustrating show.
The aliens and government conspiracy theme (the "mythology") is heavy, complex, and difficult to digest. It is also growing more inconsistent as times goes by. Only CC [probably] knows where everything leads, and he promised we will never learn all the answers, because that is not how real life is, either. What we do know is that aliens "have been here for a very long, long time," and they are here trying to colonize the planet. This is how Chris Carter explains it:
"The method, as they called it, though it was more so a germ-line procedure of singular mediscientific complexity, had been given to them by the alien colonists as a 'quid pro quo.' The syndicate would help them to create a population of alien-hybrids who would hide in plain sight, cloned from human ova and alien biomaterial. So there would be a clone race immune to the black oil when the return to the planet began. For this, the Syndicate would be sequestered, granted a sort of immunity or asylum, given a place in the grander scheme.
They're Here, Aren't They?
There are many kinds of aliens. We have humanoid aliens like the Pilot, who are strong and incredibly enduring. They have toxic green blood, and they can morph into anyone.
Then we have alien drones like Jeremiah Smith, who have the same characteristics, except they do not seem to be as tough.
Next, we have the alien hybrids and clones, who have the toxic green blood but can't morph like the other aliens. The Pilot's mission is to find them and kill them (Colony, Talitha Cumi, Herrenvolk, Memento Mori). Some of these hybrids are clones of Samantha Mulder (Colony, Herrenvolk), in both young and adult versions.
We have also seen the classic "grays," tall and thin (Little Green Men) and very short (Paperclip). A variation of those ... the predatory "grays" in the X-Files movie. Their substance is carried in their blood, called purity, "black cancer," "black oil" (Piper Maru, Tunguska). These oiliens can enter the human host and control them, put them in a coma, or consume the host's body elements to gestate a new kind of alien.
The Russians were apparently successful in creating an antidote to drive this alien out of the host's body. This vaccine was used on Mulder in Tunguska/Terma, and he used it to save Scully in The X-Files [movie]. Mulder got the vaccine from WMM, who got it from Krycek.
Mulder: What is this?
The video edition of the movie adds this piece of dialog (just before "Why are you telling me this?"):
WMM: Survival is the ultimate ideology. Your father wisely refused to believe this.
Monsters Begetting Monsters
When we are talking about a "government conspiracy," we are actually talking about a very secret and restricted section of the government, and not even a government restricted to one country. The "government" as a whole is not a homogeneous entity, and certainly not very efficient at keeping secrets. Mulder and Scully work for the government, but they are obviously not a willing part of any conspiracy.
This secret group is actually an international organization (Anasazi), also called the consortium, the syndicate, or the elders. They used to meet on West 46th Street, in New York City, and they were directed by Strughold, who seems to be working in Tunisia. The elders (or most of them) were burned alive in One Son. Fowley and Cancer Man escaped; others may not have showed up at all.
Scully was abducted in Duane Barry. She has no clear memory of her abduction, but she later discovered an implant (an advanced computer chip) on her neck (The Blessing Way).
Removal of this implant seems to cause cancer, with terminal consequences for at least 11 other women from MUFON, who had also been abducted and experimented with (Nisei, 731, Memento Mori). Apparently, the purpose of these experiments is to create a race of human/alien hybrids. The purpose of the implant is not clear, but it seems to work as a tracking or homing device (Patient X, The Red and the Black).
These monsters have no reservations about "breeding" smallpox-carrying bees (Herrenvolk, Zero Sum), and testing them in small populations. These bees can also carry alien DNA (The X-Files [movie]).
The FBI's Most Unwanted
Why do we care about all this? Because of Mulder and Scully. It all started with Mulder's obsessive search for the "truth"--the truth about the disappearance of his sister, when he was 12 and she was 8. Through hypnotic regression, Mulder came to believe that his sister had been abducted by "aliens."
As it turns out, he has plenty of reasons for being paranoid. In Anasazi, we discover that his father worked with Cancer Man, and was deeply involved in unspeakable experiments on humans. A year later (Talitha Cumi), we discover his mother had an affair with Cancer Man. Then, Mulder is assigned a temporary partner, Krycek, who turns out to work for Cancer Man, then a Russian spy (Terma), and then a free agent. Krycek also helps Duane Barry kidnap Scully, and kills Mulder's father (Anasazi).
Whom can you trust? Mulder, Scully, Margaret Scully, the Lone Gunman, and Skinner.
Mulder has his informants, but their trustworthiness is going from bad to worse. First, he had Deep Throat, a member of the syndicate with moral reservations about their agenda. These leaks got him killed at the end of the first season (The Erlenmeyer Flask).
Then we had X, who turns out to work for Cancer Man (Wetwired). However, X has also helped Mulder, and even saved his life (731). X is exposed as a double agent and killed by one of Cancer Man's men in Herrenvolk, in front of Mulder's apartment. With his dying words written in blood, he directs Mulder to another informant, Marita Covarrubias. She, too, has a complicated relationship with the syndicate, and a more interesting relationship with Krycek. Finally, Dr. Alvin Kurtzweil also points Mulder in the right direction, but he is quickly killed by WMM (or WMM's driver).