So does everyone have a favorite episode? I easily have a top 10 list, but I'd say my most favorite is Closure, they did such a good job of making you feel invested in Mulder's search for answers with Samantha, to finally have that come to an end was so gratifying and the way it was done was perfect.
This series in general did a great job of making you feel emotionally invested in the characters, Scully's cancer, the burning of the X-Files office, finding Mulder dead, Mulder's resurrection, every one of those moments, I felt like I was going through it with them, I was ready to throw my remote at the TV at the end of "This Isn't Happening" and I was on edge the whole episode of "Dead Alive" waiting to see if Mulder came back true Mulder or some plot twist and the relief of having him back was great, I even fell for it that moment he teases Scully like he has no memory.
I saw "The End" after seeing season 6-9, so I knew everything would be ok, but to this day, every time I see the part with Mulder and Scully standing in the ruins, I feel like I would if that'd been my life I was staring around at.