These facts are from the mailing lists I subscribed to. I haven't confirmed them yet so some of them might be a little bit untrue. If you have some more interesting facts that I have missed please feel free to contact me .
1) Nicholas Lea, who plays Krycek, used to date Melinda McGraw, who played Scully's sister. Ironically, Krycek kills Scully's sister in Season 3!
2) "Irresistable" was originally rejected as being too creepy so C. Carter had to change Donnie Faster from a necrophiliac to a death fetishist.
3) Gillian Anderson lied about her age to audition for the role of Scully.
4) David Duchovny was a benchwarmer on the Princeton basketball team.
5) David Duchovny directed Season 6's episode "The Unnatural" for the first time.
6) During the episode "Paper Hearts", Mulder must sink a basketball shot from halfcourt for vital information. In seven takes, David Duchovny sank four twenty five foot shots.
7) Nicholas Lea, who plays Krycek, originally appeared in "Genderbender" as a victim of the sex shifting alien.
8) Chris Carter appeared in "Anasazi" as an FBI Senior Agent.
9) There have been many alternate "tag lines" instead of"The Truth is Out There" in the beginning of the show. They are:
1."Trust No One" from 'Erlenmyer Flask'
2."Deny Everything" from 'Ascension'
3."Ei Aaniigoo 'Ahoot'e" (Navajo for The Truth Is Out There) from 'Anasazi'
4."Apology Is Policy" from '731'
5."Everything Dies" from 'Herrenvolk'
6."Deceive Invaguile Obfuscate" from 'Teliko'
7."E Pur Si Muove" (But it does move) from 'Terma'
8."Believe The Lie" from 'Gethsemane'
9."All Lies Lead To The Truth" from 'Redux'
10."Resist Or Serve" from 'The Red And The Black'
10) Shelia Larken, who plays Scully's mom, is married to X Files producer R.W. Goodwin.
11) Mulder's mother's first name, never said on the show, is Teena.
12) Kristen Cloke, who was in "The Field Where I Died" and plays Lara Means on Millennium, is married to X Files/Millennium producer Glen Morgan.
13) Darin Morgan, who wrote "Humbug" and "Clyde Bruckman's Final Repose" and played Eddie Van Blundht in "Small Potatoes", was asked to play Dilbert in the upcoming sitcom based on the comic strip. Morgan declined the offer.
14) The episode "Piper Maru" is named for Gillian Anderson's daughter, Piper.
15) The part of "X" was played by a woman in the original X-Files Scripts.
16) Scully's dead dog Queequeg is named after the harpoonist in Moby Dick. There are many references to that book on The X Files: Scully called her father Ahab and he called her Starbuck.
17) Mulder's first word was J.F.K.
18) Mulder is red-green colorblind and afraid of fire.
19) David Duchovny practices yoga and is a vegetarian.
20) Gillian Anderson once dated Rodney Rowland, who played the crazy guy with the tatoo in "Never Again".
21) The character of Scully was modeled after FBI Agent Clarice Starling in Silence Of The Lambs.
22) David Duchovny guest starred on an episode of "Space: Above & Beyond" as an android.
23) The episode "Red Museum" was supposed to be continued on "Picket Fences" and would have sent Scully and Mulder on CBS. However, CBS canceled the idea in 1994
24) Darren McGavin played Arthur Dales in "Travelers". He also starred in the 70s TV show "Kolchak: The Night Stalker" that inspired The X Files.
25) The Lone Gunmen's names are John F. Byers (named for JFK),Ringo Langley, and Melvin Frohike
26) Mulder is the maiden name of Chris Carter's mother.
27) Gillian Anderson's sister played Scully in a flashback scene in Season 5's "Christmas Carol".
28) Roy Thinnes, who played Jeremiah Smith in "Talitha Cumi/Herrenvolk", starred in the 1960s TV show "The Invaders", a series about one man's attempts to stop an alien invasion.
29) In the episode 'Max', Scully turns on a stereo and "Unmarked Helicopters" is playing. This song appears on Songs In The Key Of X; Music From And Inspired By The X Files.
30) Chris Owens, who plays new recurring character Agent Jeffery Spender, played the young Smoking Man in "Musings Of A Cigarette Smoking Man" and the Great Mutato in "Post Modern Prometheus".
31) Gillian Anderson made some interesting fashion statements when she was younger. She wore a nose ring, and for a time, dyed her hair blue black and purple.
32) Doug Hutchinson (A.K.A. Eugene Tooms, the liver eating mutant from the first season) sent Chris Carter a frozen calf's liver to thank him for the work.
33) Scully and Mulder first met on March 6, 1992.
34) Dana Scully's own X-File number is X73317, we learn this in "3" when mulder puts her glasses into her file.
35) In the original script of "Pilot," Mulder and Scully literally howl at the moon.
36) Doug Hutchinson, (Once again, the liver eating mutant Eugene Tooms) is a vegetarian in real life.
37) Mulder opened his sister's X-File 6 months before he underwent hypno-regression to retreive the memories of her abduction.
38) In the original script of "Shadows," Mulder tells Scully he would like "no regrets" written on his tombstone.
39) Scully's birthdate is February 23, 1964.
40) The first time we see Mulder kill someone is in "Young at Heart," when he kills John Barnett.
41) In "Roland," Mulder reveals he had a dream in which he dove into a pool searching for his father. In the original script, he was searching for his sister.
42) The script makers had to have Gillian Anderson abducted in "Ascension" to give her time to have her baby girl, Piper. Piper was born on September 25, 1994.
43) During the filming of "Humbug," Gillian Anderson ATE at least one live cricket to the astonishment of the cast and crew.
44) David Duchovny co-starred with Mimi Rogers (AKA Diana Fowley!) in the movie "The Rapture" (They got their freak on!)
45) Scully was named after the LA Dodgers broadcaster Vin Scully.
46) 1121 is Carter's wife's birthday. 1013 is Carter's birthday as well as his production company.
47) Carter based Scully after the movie "Silence Of The Lamb".
48) Mulder's birthdate is October 13, 1961.
49) Scully's tatoo was a mohawk in "Never Again".
50) David Duchovny lost his virginity at 14 and Gillian Anderson at 13.