Mark Snow. The theme. Because whistling is always scary.
The re-mix of the theme done for the 2008 movie was awesome.
The music that was playing during ghostly children scenes in "Closure" by Moby - it was "My Weakness," off his album PLAY. At the time of filming, PLAY was on its way to becoming a hit, mainly because Moby gave lots of shows carte blanche in using the tracks for anything (trailers for episodes of PARTY OF FIVE, incidental music for BUFFY, car ads, etc.).
The first X-Files episode to use Moby's work was the Gillian Anderson-directed "all things," which used "The Sky Is Breaking".
Nick Cave's "Red Right Hand" for the Mulder/Barry chase up the ski lift in "Ascension".
Soul Coughing's "Unmarked Helicopters", which shows up in "Max".
There were also two excellent CD's, "Songs in the Key of X" and the soundtrack of the film.
Mark Snow's score for "Post-Modern Prometheus" is truly magnificent.