It's well done and well written, though it doesn't quite feel like an X Files episode. The three actors portraying the Gunmen have been consistently wonderful throughout the seasons and their demise is suitably selfless whilst still fitting in with their conspiracy theories.
The story is good - a kind of terrorist plot, but with extra weirdness going on. And I do like the title - Jump the Shark - the signal that a series has gone too far and lost its integrity. I've never seen the Lone Gunmen series, so I don't know the connection to the X Files in terms of timing, but I'm guessing this was a way of ending that series and quitting them from this, which they knew was the last ever season of XF.
Very moving, especially at the end