Eldritch Abomination: The MOTW. Never shown, takes the form of your mortal fear, and utterly beyond physical reality. Mulder even describes it as a force rather than a physical entity, which makes sense considering that it kills one unfortunate nurse by becoming the hantavirus.
I Know What You Fear: The monster of the week could sense people's worst fear and made them real. Some were literal monsters (a wasp man or a generic villainous killer). A man panicked because he thought his partner would leave him (but the monster ignored this because it was not a mortal fear). One woman died of exotic disease simply because Scully had mentioned its name.
Jitter Cam: The episode was filmed with hand-held cameras while running and moving and presented as a part of reality show. They used some of the actual crew from COPS to get the look and feel right.
Lower-Deck Episode: While Mulder and Scully have a large amount of camera time (but not following them constantly, they appear rather cryptic to the others who interact with them), the majority of the episode focuses on the regular people of the Sheriff's Department and the camera crew following them getting increasingly puzzled and freaked out at the unusual situation that is plaguing the city that night.
The Unsolved Mystery: The episode ends with the monster running away (and never seen on-camera), Skinner stopping the COPS crew (and the regular cops) from doing a follow-up, and the regular cops going back to their beat with puzzlement at what the hell just happened.