I think this list should give you all the episodes. They released a four volume collection a few years back of Mythology-only episodes, so this can be considered a definitive list.
There is also a reference book that has a listing of the mythology episodes. The DVD's and the book differ on a few episodes, I believe it is mainly episodes that are Monster of the Week but have a Mythology-arc character show up somewhere in the episode.
The list:
Season 1
Pilot
Deep Throat
Fallen Angel
E.B.E.
The Erlenmeyer Flask
Season 2
Little Green Men
Duane Barry
Ascension
One Breath (DVD only)
Red Museum
Colony
End Game
Anasazi
Season 3
The Blessing Way
Paper Clip
Nisei
731
Piper Maru
Apocrypha
Talitha Cumi
Season 4
Herrenvolk
Tunguska
Terma
Memento Mori
Tempus Fugit
Max
Zero Sum
Demons (book only)
Gethsemane
Season 5
Redux
Redux II
Christmas Carol (book only)
Emily (book only)
Patient X
The Red and the Black
The End
Season 6
The Beginning
S.R. 819
Two Fathers
One Son
Biogenesis
Season 7
The Sixth Extinction
The Sixth Extinction II: Amor Fati
Sein Und Zeit
Closure (DVD only)
En Ami
Requiem (DVD only)
Season 8
Within
Without
Per Manum
The Gift (book only)
This Is Not Happening
DeadAlive
Three Words
Vienen
Essence
Existence
Season 9
Nothing Important Happened Today
Nothing Important Happened Today II
Trust No 1
Provenance
Providence (DVD only)
Jump the Shark (book only)
William
The Truth