X-Files afficianado Robert Frost came up with the following watch order for the series and its various spin-offs and crossovers.
Watch The X-Files, seasons 1 – 5.
The first X-Files movie, simply titled X-Files, but now often referred
to as X-Files: Fight the Future, takes place in-between seasons 5 and
Watch season 6.
Start Season 7. Season 7 features an episode titled “Millennium”. It
is episode 4 of the season. The episode is intended to serve as a
conclusion to the series Millennium. You do not need to watch the
series Millennium to watch episode 4, but if you want to watch
Millennium, watch it between episodes 3 and 4 of X-Files season 7.
Complete Season 7. Watch Season 8.
Start Season 9. Episode 15 of season 9 is called “Jump the Shark”.
This episode serves as an end to the story of The Lone Gunmen. If you
want to watch the one season of the spin-off The Lone Gunmen, watch it
before episode 15. Then complete Season 9. Watch the second film,
titled X-Files: I Want to Believe. The ending of this film pretty much
leaves the characters in the state we find them in the new miniseries.
Watch the new X-Files (2016) [Season 10] 6 episode miniseries.
The show continued into a Season 11 which should obviously be watched after the previous season.
Additionally, there were several comicbook spinoffs, notably a "Season 11" comic serial, executive-produced by X-Files showrunner Chris Carter. This should obviously be read after the finale of Season 11 as it contains (some) spoilers and functions as an alternate ending to the show.