The general consensus is that there is a noticeable drop in quality from season eight onwards and, while that may be at least partially true, the show proved that it could still scare the bejesus out of us when called on.
A prime example of that (along with Roadrunners, which just missed the cut) is Badlaa. Badlaa (Hindi for 'Revenge') concerns an Indian amputee street beggar who doesn't take too kindly to people passing by him without parting with some change. In the cold open an obese American businessman does just that and finds himself stalked to the toilet, dragged under the stall and then, when he retires to his hotel, blood starts gushing from his orifices. Lovely.
The grossout factor is increased later in the episode when the beggar bursts out of another victim while Scully is performing an autopsy. The scenes of the beggar slooooowly wheeling towards his child victims are incredibly eerie and well done, but the scariest thing about it is the fact that the beggar can shrink himself down and enter your body.
The episode is not fondly remembered by X-Files fans but you cannot deny its effectiveness.