Yeah, sequel episodes were few and far between on The X-FIles. Off the top of my head, there was a sequel to S2's Irresistible (a great scary episode) called Orison in S7 and S3's Pusher (another winner) had a sequel in S5 called Kitsunegari. Both of those episodes really fail to live up to the first ones but Tooms was a really good sequel.Another good one, and I believe the only MOW episode to get a sequel ("Tooms", toward the end of Season One).
To take it to an extreme, there was also a semi-sequel to S3's Jose Chung's 'From Outer Space' on Millennium called Jose Chung's 'Doomsday Defense'. And the wrap-up episodes of Millennium and The Lone Gunmen that were episodes of The X-Files could be called sequels too.