The tagline reads, "This is the end," and yet, the story goes on! That's The X Files for you - the end does not mean death. In fact, what constitutes "the end" for the miniseries is arguably merely the bridge to get us where we're going next: into space, if the final moment of the show means what I think.
Scully tells us in the beginning how it is to see the world from her perspective: How she, a woman devoted to science and the rational, real world, could come to understand that a world exists beyond what we can see which tests our belief and what we know of ourselves. Then she spends the rest of the episode fighting to reconcile the forces opposing human kind on behalf of nature, as per usual.
PLUS Mulder faces the scariest monster in the whole rogues gallery - an enhanced, ultra-grotesque Cigarrette Smoking Man. It gets worse when you see his real face.
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