This is based on opinion. Please don't list it on a work's trope example list.
Nightmare Fuel / The X-Files
The theme music is creepy by itself, and the opening sequence is full of disturbing images: the human silhouette falling onto the image of the hand with the one red finger segment. Just the juxtaposition of the two pictures suggests a story — reading that the hand image is an example of Kirlian photography is unsatisfying by comparison. What's that tapping you hear in the background, just four taps over and over again? It could be ambiance... Or it could be the drums... The distorted, screaming face is particularly chilling. The fact it was sometimes cut from the opening sequence could be considered either a wonderful favor, a shame (for those who enjoy being disturbed)... or Paranoia Fuel, since one would never know when it would be included.
On some episodes, the iconic whistling is nearly nonexistent and is more like it's echoing in the background, giving it a more eerie, atmospheric feel. The theme in season 1's "Fire" is one such example.
The individual taglines for some Myth Arc episodes. Some of them are creepy on their own. RESIST OR SERVE or TRUST NO ONE.
The subliminal messages people start seeing all over the place in Blood. "KILL 'EM ALL." Oh God...
"Home": The episode has the distinction of being the only one in the show's history to be banned from network TV. Honestly, it's surprising it ever made it to air in the first place, but it was something like five years before it was shown again. (As part of a Halloween scare-fest, of course.)
The opening birth sequence, with the scream and shot of the umbilical cord being cut, is unforgettable, though Wikipedia makes it sound worse than it is. And later, the dead baby in the fridge next to snacks and drinks is disgusting. Somewhat of a visual example of Bread, Eggs, Milk, Squick. And then the shot of the extremely deformed baby itself...
The scene with the sheriff and his wife getting beaten to death and the accompanying music... *shudder* The cheery song "Wonderful, Wonderful" has become linked with creepiness in the minds of fans. Though Johnny Mathis is kinda creepy anyway.
Monster of the Week, when it got to this episode, did not even try to make fun of it, instead just displaying how the writer and her husband reacted.
Rob Roberts' true form in episode "Hungry". His sharp, pointed teeth and black eyes were particularly disturbing.
The pictures◊ from◊ "Unruhe". Very creepy in themselves, but consider that one crazy guy takes them as a proof that you need a lobotomy. With an ice-pick through your eye.
"Badlaa". Orifice Invasion at its most squicky, the idea that he can make himself invisible, and the sound of squeaky wheels should not be that terrifying. That scene where the kid is running down the street and he can't see what's chasing him, but can only hear the "squeeeak, squeeeak, squeeeak..." of the wheels behind him... *shudder*
The cursed doll from "Chinga". Particularly the way it speaks when attempting to kill the mother. "Don't play with matches. Let's play with the hammer."
The horrible vision of the charred, bloody doll in "Clyde Bruckman's Final Repose".
Clyde Bruckman's dream in "Clyde Bruckman's Final Repose". The fact that he has it every single night just adds to the Fate Worse Than Death nature of his entire existence.
It's also implied that Mulder was unable to sleep after Bruckman told him about the dream. Think about that, just hearing about it was disturbing enough to keep Mulder of all people awake.
"The Calusari". "Be careful. It knows you now."
Two simple red, glowing lights become a symbol of fear after "Detour". To make it worse, the beginning scene that shows the glowing red eyes coming from the ground is used as the main menu on the DVD for the episode. The last shot of the episode — the eyes opening up under Scully's hotel bed — was incredibly creepy.
"Detour": The pit with the bodies.
Keeping Donnie Pfaster's demon form in quick, darkened glimpses in "Irresistible" was how you do it right. Or very very wrong.
A person emerging out of a small cut in Scully's hand fingers first in "Fresh Bones". Oh god, oh god, oh god...
Eugene Victor Tooms, possibly the most popular (and most terrifying) monster to appear on the series. Once you see him in action, you'll never go near another air vent again. His introduction in "Squeeze": after an establishing shot of a busy city street at rush hour, the camera settles on a sewer grating and slowly, slowly zooms in on it. Pretty soon, we begin to see a pair of cold, yellow eyes staring predatorily out. Skip all the way to the end of the episode: Tooms has been put in prison, but notices that there's a hole in his cell door through which he can escape. He begins to smile in a way that's indescribably innocent yet perverted at the exact same time, and this HIDEOUS sound effect plays over and over again as the screen fades to black. It was only the third episode of the series (and the first standalone), but it set the tone for the entire show. One of the scariest episodes ever.
"Folie à Deux". Your boss is a horrible insectoid creature who vibrates like he's out of sync with reality and can move faster than you can blink. Worse, he's systematically turning your coworkers into the living dead, and everyone thinks you're delusional because you're the only one who can see it.
"We're not who we are" ("Ice"), although admittedly possibly coloured because it's basically The Thing (1982) but science-y.
"Teliko" gives us a man who steals the pigment from his victims.
"Leonard Betts", and the storage locker sequence. Giving birth to your another duplicate body through your mouth? That is just sick and wrong! Needless to say, this was an episode with some in-universe squick, and Mulder and Scully have very strong stomachs and are tough as can be.
"Red Museum" has a subplot where Mulder and Scully discover a hidden camera and stacks of video tapes behind a family's bathroom mirror. Earlier, you see the eyes of the a man watching the woman undress as he breathes heavily. She has two boys. And in confession, he says he loves those boys.
"The Host", in which a giant mutant flukeworm that looks part human goes on a sewer rampage biting people. However, the most horrifying moment of the episode was not the flukeman himself, but the scene in which a bitten worker THROWS UP A FLUKEWORM IN THE SHOWER. AHHH!
"Die Hand Die Verletzt":
A high school student is having hallucinations from something involving a cult or something, involving murdering babies, and her biology exam requires her to dissect a foetal pig, which comes to life in her mind as she cuts it open. What's more, the teacher casually tells the students they will get "bonus points for dissecting the heart".
Eaten alive by a python?! SHUDDER SHUDDER SHUDDERnote When large snakes eat a meal like that they have trouble moving for a while. In the few cases where an anaconda or python or boa has eaten a person, the snake practically can't move for a month. Snakes try not to eat people because it makes then very easy prey for about a month. Lampshaded when Scully mentions that a python is not physically capable of digesting a person and disgorging the remains anywhere near that fast.
There's the teacher's snake eyes. Hell, everything about that teacher was terrifying. Even the font she chalked her final goodbye message in seemed really creepy. She was heavily implied to be a high-level demon who decided to stop by just to punish the cultists for not paying proper tribute to her and essentially tricked Mulder and Scully into helping make her job easier.
The Black Oil hits a whole bunch of Primal Fears right on the nose, especially bodily invasion-related fears (it slithers under your skin and into your eyes).
"Field Trip". Particularly freaky were the scenes where reality seeps into the hallucinations in the form of gooey yellow acid, and especially when a whole room, including the people in it, dissolves into the acid. The whole concept of the episode is both Nightmare Fuel and Paranoia Fuel.
"Soft Light". The clear despair and self-loathing Tony Shalhoub's character feels for what he is inadvertently doing, and the genuine fear and horror as he tries to warn people away from his shadow is bad enough... but what the shadow itself does... Taken up to eleven when he faces his ultimate Fate Worse Than Death.
"Pusher" gives you an evil bastard who can control you with his mind, forcing you to shoot yourself or set yourself on fire, or even induce a heart attack using nothing but words over a telephone.
The beginning of the episode "Beyond the Sea" has Scully's parents over at her place for a dinner. After they've left, she wakes up on the couch later at night and sees her father sitting on the armchair. She says she thought they had gone home already, but he doesn't even react. The phone rings, she turns away, looks back and her father has disappeared. She answers the phone and her mother tells her his father died of a heart attack an hour ago. Just the way he's sitting there, with a glassy stare, lips moving but no words coming out.
Also in "Beyond the Sea"- both of the scenes where Luther Lee Boggs is being led to his own execution. He may have deserved it for all of the people he killed, but the long shot of him being led down the hall, being strapped into the chair, the way he starts hyperventilating and crying, and the slow, barely-restrained sense of panic building through the whole thing as he KNOWS he's about to die. That scene gave this troper nightmares for a long time.
The scene where the plastic surgeon in "Sanguinarium" is removing his own face, but really: THE WHOLE EPISODE!!!Squick and Nausea Fuel abound. Vomiting needles. Bathtub full of blood. A guy getting his organs ripped out by a liposuction device. Gruesome plastic surgery accidents. Don't ever watch that episode, EVER. It makes "Home" look extremely tame.
"Hellbound", which is about people being skinned alive.
"Small Potatoes". Monster of the Week (a man who is a shapeshifter) impersonates Mulder for the few days, while the real Mulder is trapped in a hospital cellar. Mulder manages to get out, but the fact that everyone around actually took the fake Mulder for real can induce heavy amounts of Paranoia Fuel.
Mulder's resurrection in "DeadAlive". He has been dead and buried for months, but he gets better. How? It's super creepy when you imagine that his body has been embalmed and decomposing or that he might have been cremated. In addition, people are only slightly disbelieving and by the end, apparently nobody is freaked out by this. When did people like doctors and sceptics like Doggett start to take the paranormal this easily? Why is nobody freaking out?
"Monday". Imagine experiencing the trauma of the day where your boyfriend dies, but worse (he takes a bunch of innocent people with him), and knowing there is nothing you can do to stop it. Now imagine experiencing that day FOREVER! The woman even says she is in hell. Mulder somehow breaks the loop, but considering how many times he personally looped, one can assume that woman had experienced that day for months, years, or possibly even decades. Hell indeed.
The 1st season's "Fire": People being set on fire and burning alive is very chilling (ironically). And there's even Adult Fear thrown into the mix when the children are trapped in a burning building twice!
"Via Negativa". Not only this person can kill you in your sleep, but can also control you to murder someone else.
The scenes and descriptions of Duane's torture. Real or not, the sight of a man strapped to a table, immobile and terrified, as a drill slowly lowers itself into his open mouth to drill his teeth... it's enough to make anyone flinch.
Up to Eleven in season 8 with Mulder's abduction: Mulder is bolted to a stone chair through his wrists and ankles, has his cheeks stretched wide with what looks like fish hooks and wire, and we watch as a drill is sent through his soft palate. Yikes.
And then there's the little circular saw that starts vivisecting him. Yikes is right.
The premise of "Wet-Wired", where a subliminal TV signal causes you to have hallucinations based on your worst fears and anxieties and subsequently become dangerous and violent, is Paranoia Fuel enough: It really starts getting creepy once Scully gets affected: Both because she's a viewpoint character and because the paranoia that results is so opposite of her normal personality.
The entirety of the titular character in "Patient X". Kidnapped, tortured, infected with the Black Oil and then having his eyes, nose and mouth sewn shut to prevent it from escaping.
"F. Emasculata" is a germaphobe's worst nightmare. Especially the part when the escaped convict's boil bursts at his girlfriend's face. You can see all of the gunk that's on her face and you can almost feel the germs on you.
All the deformed children Scully sees in "Founder's Mutation", if only because they look so disturbingly realistic. Doubles as Adult Fear, both in and out of universe.
All the murder scenes in "Home Again", with the Bandage-Nose Man literally ripping his victims apart with his bare hands. There's also a homage/callback to the above-mentioned "Home", in which Petula Clark's cheerful "Downtown" plays over one of the most brutal and horrific death scenes in the series.
in "Synchrony" the villain who is the future version of one of the researches, Jason Nichols, tries to kill the scientists. His reason? Their research will lead to the creation of time travel, which will be available for everyone. Everybody will know evrything, there will be no future. Nichols describes this world as that one without hope. The most horrific part? We don't know if he succeeded to avert this future, as Lisa, his girlfriend scientist, continued her work...