The show's X-Files, or original ones?
Of the ones on the show, I'd like to see Nisei/731 played out with Alex included. Mulder, Scully and Alex would all be on the train, and Mulder would see Alex talking with Dr. Zama, maybe even accompanying the doc to his cabin. Then, when Mulder finds the doctor murdered, he's afraid that Alex did it. He'd struggle with whether to protect Alex or report him. He doesn't tell Scully his suspicions, though. Meanwhile, Scully will know that Alex didn't commit the murder, but she won't know that Mulder thinks he
did.
For original ones, I'd like to see the three of them investigating a hypnotist they suspect is an unusual contract killer. People can pay him to arrange for the murder of another by planting homicidal suggestions in a third party. (Convoluted, isn't it?)
Anyway, our trio will be investigating him, and Alex and Scully will begin to suspect that the hypnotist is on to them, and that he's got Mulder under his influence to kill them.
As far as the conspiracy, I'd like to see the deep-cover thing play out. Alex will appear to be playing both sides, of course.
I've also toyed with the idea that Alex's father is Deep Throat, and that Alex has a private vendetta to get the ones responsible for his father's death. He's predisposed to like Mulder from the start, since his father trusted him. But he blames Scully for being a party to the circumstances of DT's death. (Twisted enough?)
Okay, I'm rambling. So I'll stop for now.

Tira