I recently bought Season 3 on DVD and am currently working my way through the episodes, enjoying every minute so far. However, none of them has affected me as much as this one. Whether it's because the subject matter of child abduction is made all the more poignant due to recent news items, I'm not sure, but I think part of it is down to the connection between Mulder's character and his own personal experience with the disappearance of his sister. David Duchovny gives a very good performance here, and his character's sympathetic approach to handling the troubled soul of Lucy is at times very touching. The abductor Carl Wade is suitably creepy, and the scenes between him and Amy Jacobs are sometimes difficult to watch, but then, this is always likely when you're handling topics such as this.
For Firefly fans (such as me) there's the added bonus in that the present-day abductee is played by none other than a young Jewel Staite!