The X-Files pulls Wham Episodes very often. The seasons' last episodes, ending with cliffhangers and deaths of major characters, or two-parters and trilogies which usually uncovered new bits of the series' Myth Arc.
"Leonard Betts" starts off as an investigation into a man with a Healing Factor who fuels it by consuming cancerous tissue, usually killing the person he's extracting it from. Standard for a monster of the week episode. Then, at the climax, he turns to Scully, of all people, and says, "I'm sorry, I'm so very sorry... but you have something I need."
Season 5 finale "The End", which ends with the X Files department being closed down and Mulder's office (including all the files) being burned to the ground.
The two-part season eight finale, "Essence" and "Existence" is wham-esque. Scully's baby is born, ending her official assignment to the X-Files.
The three-parter consisting of season 2 finale/season 3 première and season 3 second episode, containing the episodes "Anasazi", "The Blessing Way" and "Paper Clip, is pretty big. Mulder and Scully are pursued by a hit squad, Mulder is presumed dead (for the first time in the series) and Scully is on suspension. By the end of "Paper Clip", Mulder's father and Scully's sister are both dead.
Season 7 finale "Requiem" is very big. Mulder is abducted by aliens, marking the beginning of his absence on the show to the first two thirds of the following season. Scully, who can't have children becuase of her abduction, finds out she's pregnant.
"Closure," in season seven, where the portion of the Myth Arc regarding Mulder's sister is concluded. She really was abducted by the conspirators collaborating with aliens and suffered horribly as they were performing tests on her. Then she lived with the Spenders, AKA The Cancer Man's family, who may or may not be the Mulder siblings biological father. When she was fourteen, she was taken by some weird types of angels or fairies who saved her. This means her body can never be found, or something, but Mulder did see her ghost.
"William" in season nine, which involves the revelation that Scully's son is a super soldier and ends with Scully giving him up for adoption to keep him safe.
"Christmas Carol"/"Emily," takes place in season five, where Scully discovers that she has a biological daughter who is an alien-human hybrid and the daughter subsequently dies. This all happens shortly after Scully is told that, due to procedures done during her abduction, she cannot have children.
"Musings of a Cigarette Smoking Man". The episode is remembered for being CSM's A Day in the Limelight and revealing much about his past through a lengthy flashback that many took as gospel. However, Word of God has reminded fans that the supposed backstory comes from a conspiracy theory magazine article that is implied in episode to facilitate an Unreliable Narrator.
"Per Manum" was an episode full of "wham" moments, from the revelation that Mulder told Scully he'd found her ova, to her going through with IVF to Mulder agreeing to be the father of her child and then the IVF failing. WHAM!
"all things" in season 7, in which Mulder and Scully finally relieve all that UST. Not a wham episode in the traditional sense, since it actually didn't change Mulder and Scully's onscreen relationship as much as you think it would. However, it is heavily implied that this episode marks the start of their Relationship Upgrade and they were together, but hiding it.