From http://www.montecook.com/lineos.html :
10 Rules for Being an X-Files Character
If you can't say something vague, don't say anything at all.
Rule 1a. Never engage in pleasantries or small talk. Never say "hello" or "goodbye," particularly if speaking on the phone. If someone attempts to say something pleasant or trivial to you, look at them very seriously until they ask you what is wrong.
Rule 1b. If it looks as though the conversation might lead to your having to say something of actual substance, don't worry, the scene will end before you can say it -- probably right before you do.
Remember that the key to the show is questions.
Rule 2a. At least once per episode, say something about needing answers. Don't worry about explaining what the questions that need answers are.
Rule 2b. If someone asks you a very urgent question, don't answer. The more urgent the question, the more stoic you must be. "What happened?", "Are you all right?", and "What's going on?" are good questions never to answer. Just look very serious and let the person try to figure out the answers themselves. If someone has been hurt (particularly if there is an ambulance in the background) you must use this tactic.
Rule 2c. If possible, turn someone's question back at them as a question without actually saying anything.
sssThem: "What are you going?"
sssYou: "Where do you think I'm going?"
Rule 2d. Alternatively, turn their question back at them as a statement that says nothing.
sssThem: "What are we going to do?"
sssYou: "The only thing we can do."
sssThem: "Where are we going?"
sssYou: "Where we must go."
Rule 2e. In general, this is the list of acceptable responses to questions asked of you:
sss"I don't like your tone."
sss"What's this all about?"
sss"How can you ask me that?"
sss"See for yourself."
sss"This is about Mulder, isn't it?"
Despite the fact that you're never actually going to say anything, don't do anything but talk.
Rule 3a. Don't engage in the activities of normal people. Don't eat, watch TV, or do laundry. You can drink coffee. Sleeping is okay, but expect to be awakened up a lot. Bathing is also acceptable, but again, you will be interrupted.
Rule 3b. Don't do anything during the day unless you absolutely have to. Night is best. And don't turn on the lights if you have a flashlight -- and if you do carry a flashlight, hunt through the stores for days to find the smallest, most worthless flashlight you can.
Rule 3c. If you are alone, look pensive at an inanimate object until someone comes to talk to you.
Rule 3d. If you are a female character, be prepared to have lots of scenes in which you are holding a baby.
If you are in need of something interesting to say, use the name "Mulder" in some context.
Never refer to Scully's baby's name.
If you talk to someone on the phone (and really, you shouldn't -- see Rule 7), don't tell them anything. Just say, "You'd better get over here." Even if you are in another state.
Don't worry about time and space. If you live in Washington DC, and something's going on in Wyoming, fly out there and talk to someone. If you need to tell your friends back in DC something, fly back there and tell them. Phones, email -- these things are for lesser mortals.*
Walk around a lot at FBI headquarters. Don't say anything to anyone around you, but look like you have a lot on your mind.
Rule 8a. Be prepared to go into offices at FBI headquarters where you will find lots of people who don't like you and will not talk to you.
Never refer to a person who is not a member of the main cast. You know no one other than the main characters on the show. You have no friends, and your only potential love interests are other main characters.
Rule 9a. You do have family members, but by the end of the show's run, they will all be dead.
Just because you are the only character on the show with the remotest sense of humor, do not think that you can do comedy.
* This is particularly ironic, since The X-Files originally broke the TV tradition of generally avoiding people talking on the phone. Watch an episode of Friends, for example, and note how infrequently the characters actually talk to each other on the phone as opposed to seeking them out to talk face to face (because it makes a better scene). Since Mulder and Scully were always getting separated, they talked on their cell phones a lot -- so much so, that Scully's line, "Mulder, it's me" (used when she would call him), became a bit of a catch phrase.