UPDATE: May 5, 2000: I stopped watching the show about three years ago (about the time I stopped updating my website) so everything here is hopelessly out of date. In the interests of historical curiousity I've left it up.
Both the Russians and the Conspiracy have been trying to develop a vaccine to stop the "Black Cancer." The Russians recently developed a vaccine, which former Conspiracy member Alex "The One-Armed Man" Krycek stole and gave to The Conspiracy.
Author`s Note: This last item bears closer examination.
If these creatures were extraterrestrials their bodies would contain a treasure trove of biological information. The Conspiracy apparently knew of the location of these bodies, yet left them to rot. Cancer Man also ordered them incinerated without a second thought. If alien they were a priceless treasure, but they were discarded like migrant workers.
Also, dead bodies don't scar. So these "aliens" were vaccinated while alive. Dozens of live aliens would give the Conspiracy knowledge that would advance them centuries ahead of their fellow men, but we see no evidence of this. Also, why would aliens be vaccinated against a human virus?
This suggests that the Grays are not aliens. I believe they are a product of human genetic engineering. The purpose of their creation however eludes me.
If the Grays were created by humans they undoubtedly serve another purpose.
Adding to the confusion are the lame investigative skills of Agent Fox Mulder, a total idiot. His motto is "I want to believe" and he lives up to it by believing everything he is told. Any scene where somebody is giving Fox information should be viewed as an attempt to manipulate this witless fool. Fox's gullibility has even turned him into a "skeptic" who ignores the evidence of the last five years because somebody told him there were no aliens.
This page is not footnoted. Information is based on my recollections from years of watching the show.
Thanks go out to Greg Jenkins for his help.