Age Without Youth: Alfred Fellig is immortal, but doesn't appreciate it and envies people who die. Even young. Averted, because unlike the man of the Greek myth after which the episode was named, Fellig doesn't continue to age; he just remains in his 60s.
Chekhov's Gun: One dating all the way back to the Season 3 episode "Clyde Bruckman's Final Repose".
Deliberately Monochrome: Alfed Fellig sees when people are about to die. Their color fades and he sees them in black and white.
Wall Slump: Scully. Agent Ritter shoots Fellig, but the bullet passes through him and into Scully (and apparently out again, as there's blood on the wall behind her). Once Fellig falls, there's a second or two before Scully follows.