The Lone Gunmen

Just in case you were unaware the Comics actually brought them back stating that they actually faked their deaths  (their Comics selves would also take part in a silly crossover storyline in which they met The Ghostbusters,  The Crow, TMNT, and the Transformers! lol)  but yeah killing them off and not bringing them back in the new series like they did in the comics is definitely my biggest peeve with X-Files and probably my biggest peeve out of all my favorite TV shows  that was basically killing off HALF of the important characters of the franchise!