X-Files had some amazingly good individual episodes (usually ones where they made Mulder the sceptic and Scully the believer), but on balance, Milennium was so much better.

There are three XF I think you should see if you haven't already: there's an episode where they investigate a series of murders of circus freaks; "Jose Chung's 'From Outer Space'" the episode that made them bring (Charles Nelson Reilly back on Millenium for); and the Milennium crossover episode.