It's definitely one of my favorite X-Files episodes, and I have seen every episode at least twice
I like Quagmire. So many references to classic folklore and to previous episodes. The conversation on the rock (well known to X Files nerds) is part witty banter and part baring of souls, with the Captain Ahab theme which is woven throughout the episode brought into the open to give a frank look into what drives Mulder's obsessions, which he freely admits as such. But I think the appearance of the lake monster Big Blue at the very end was overdone and would have been better if they had just shown a huge wake being created by something unseen beneath the surface.
Yes, I know I am a nerd, but that was the best show ever (until Mulder left anyway).
The show wasn't the same without the believer/skeptic, romanticist/scientist, compliment each other and keep each other in check relationship that Mulder and Scully shared. And of course there were the glances and the occasional somewhat suggestive lines that nurtured the maybe/maybe not sexual tension between the two.