I can pinpoint the episode when the X-Files conspiracy plot took a sharp turn into hopelessness.
From about the third episode on, the mystery of Mulder’s sister, Samantha, was a huge part of the X-Files mythos. We found out that she’d been raised by CSM, that she’d been cloned, and so on. Chris Carter said in an interview once that Fox and Samantha would be reunited in the final episode (or about then). It offered some personal, poetic justice.
But that never happened, because they ended up establishing in an otherwise unremarkable episode that Samantha had been murdered by a serial killer of children. What a colossal letdown to such a lasting mystery. I kept watching the show (mostly for the stand-alone episodes), but that episode made me lose any and all hope in a good resolution to the conspiracy.