"Hell Money" had the most horrific ending
Though I bet someone out there can think of an ending from "The X Files" that can top it.
I can top it. What about the ending to "Fresh Bones". (EP 2.15)
Now THAT is a horrific ending.
"Fresh Bones" doesn't look promising for much of its running time only to pull the one-two punch of Scully's hallucination and the heavy's fate of a premature burial.
How about "Soft Light"? Poor little bastard has to spend the rest of his life confined to that room, experimented on endlessly.
Or how about in "Milagro" when the author rips out his own heart so that Scully might live?