AKA: You Think They Named The Episode Or The Dude First?
One of The X-Files' pieces of quiet brilliance was its decision to have its leads be FBI Agents. In a Monster-of-the-Week format, you need to have the leads find out about the monster, have a reason to get involved and then travel to the monster before you can get to actually dealing with the monster; Having Mulder and Scully be FBI Agents instantly gives them access to knowledge, motive and transportation, so you make your life very easy that way. The Lone Gunmen on the other hand, don't have any of that stuff so the episodes have to contrive a reason for them to get involved, with varying degrees of contrivance.