Krycek
He appears for the first time in season 2episode Sleepless and ends in season 9 episode The Truth.
Krycek is a villain you secretly root for - we all know he cannot be trusted, yet we still hope he escapes the perils. As a double agent, manipulator and Mulder's anemy and ruthlessly pragmatic antagonist, Krycek perfectly embodies the X-File conpirational atmosphere.
His relationship with Mulder is marked by grudging respect, hatred, and occasional forced cooperation. Which tells a lot about Krycek - he killed Mulder's father and helped to abduct Dana Scully.
Krycek can be described as antihero actually. Shifting loyalties, he proves that sometimes it's better NOT to want to believe.