Here are some links to some of my favorite XF related sites (I'm adding them on as I get permission, so my apologies for having so few right now):
The Annex - The X-Files Novel Archive
Home of novel length X-Files stories. Whether you're into romances or case files, Skinner -centered or Mulder/Scully only, this is the place to go.
MulderTorture Anonymous
Can't get enough of seeing Mulder suffer, whether at the hands of terrorists, clumsiness, or his own inner demons? Go here. Read about Mulder (and Scully) being kidnapped, burned, drugged, poisoned, shot, beat up, run down, brainwashed--well you get the idea. If you're into stories with heavy angst, this is the place for you!
The Gossamer Project
This is the largest repository of XF fanfic on the 'net. If you're looking for something in particular, this is the place to look.
In Their Own Words
A fabulous collection of interviews done with fanfic authors by fanfic authors. There are well over 100 insightful and entertaining interviews there, including one with me. :)