Here are my five favorite places on the web pertaining to The X-Files.

The Official Site
For the latest news and ep and character info, you can't go past the Official Site.

The Treehouse
For X-Files Multimedia, this is your place.

A serious look at The X-Files.
Tons and tons of info. Great site.

Gossamer
If you are a fanfiction addict like me, you'll know that this is the place to go. If you're a newbie, and you haven't really read any yet, I'd say that you'll find what you're looking for at Gossamer.

alt.tv.x-files
alt.tv.x-files.creative
I cheated here and put two, but these are the newsgroups to visit for anything X-Files.