DaCostaBR: And how could it be any different? What are they going to do? Go up on a spaceship and slap some cuffs on the aliens? That'd be ridiculous. By design the conspiracy must go on, so stuff can't be resolved.
The ones that weren't about aliens had better conclusions. Sure, maybe the monster dissolved when it died and no one will ever know the truth, but the problem has been solved and we've reached a satisfying end.
I watched maybe 10 or 15 episodes of the first season when I gave up on it. Maybe it all changes later and it becomes much more cohesive, but I watched one too many episodes that just ended abruptly instead of conclude and feared the rest would be the same.
Like I said, in the first season they didn't really know where they are going with the conspiracy plot. It only really comes together in season 2 and later. But I think you're also missing something of what the point of X-Files was. And that's that ultimately Mulder and Scully are not hereos who save the world. They are hopelessly outmatched, and the story is that of their defiant fight for the truth despite it being hopeless, not of their exposing the conspiracy and making the world safe and happy again. They can only ever come close but not enough, get a few more answers but also more questions, and keep trying again. At least that's how the first 5 season play it.
It's like The Prisoner (a cult british show from the 60s), where the whole point of the show was the main character trying to escape a village-prison for former intelligence operatives, and he could never do it. The whole point of the show was his stubborn refusal to concede and join his captors.
PaterAlf: They didn't retcon the whole thing in season 7, but sometime after the first movie (which I like a lot) it became clear that the writers had completely no idea were they were heading with the whole alien conspiracy plot and at that point already a lot of stuff was contrary to things they told in the first few seasons.
The alien conspiracy pretty much ended halfway through season 6. It wasn't retconned as much as just brushed aside untill Duchovny left in season 8 and the writers had to write around it (another proof that outside difficulties can actually help by forcing people to be creative).
There was, at the start of season 7, this thing about some ancient aliens and Scully translating bible passages from the hull of a derelict ancient UFO she finds in Africa while Mulder develops psycic powers or something... but it was utterly horrible, made no sense and lasted all of two episodes. After that the writers must have realised how bad it is and just ignored it until season 9, when no one really gave a crap anymore.