Kind of a YMMV one, but Scully pranking Mulder on the roof at the beginning of the movie. They didn't used to kid around with each other much until later seasons, so it was nice seeing them being adorable together.
Mulder and Scully trying to save each other and blame the other of the pair, even though they both are heroes and they know it, when the FBI panel at the hearing tries to accuse them and split them up.
Mulder's speech to Scully in his hallway.
On that note, the fact that Scully getting essentially kidnapped was on the forefront of his mind, not revenge on her kidnappers (like in Accension in season 2) or obsessing over finding proof of alien existence (like in... well, all of the episodes he ditched her in in pursuit of his lifelong quest). This troper's heart melts everytime she watches the lengths he goes to climbing around that spaceship.
Mulder finding and holding onto Scully's cross necklace. He just always finds ways to get it back to her, which is really touching.